When using Cubase (or other Steinberg ASIO hosts) with one of the latest Mac models, it is not possible to switch between the built-in speaker and the headphones on the fly by simply connecting a headphone. In the host, "two" "Built-in audio" options are available instead of the previous one.
The latest Mac models (from 2018) contain a built-in audio sub-system that is different from prior Intel HDA (High Definition Audio) architecture in Macs. Built-in audio functions are handled by a new component, so that the built-in audio hardware is now 'looking different' to audio apps running on the system. Among other things, it provides an independent built-in speaker and headphone output selection as a feature, which cannot be used correctly by our ASIO hosts at the moment.
Until we come up with a permanent solution, we suggest to create an aggregate device in the Audio MIDI setup (Applications - Utilities). See this link for details.
The newly created Aggregate Device can then be selected in Cubase/Nuendo under Studio ▸ Studio Setup ▸ VST Audio System ▸ ASIO Driver.