When I do a recording in cubase of the entire song onto one track, all the tracks except the VST instrument are recorded. Why are not the VST instruments recorded?

When I do a recording in cubase of the entire song onto one track, all the tracks except the VST instrument are recorded. Why are not the VST instruments recorded?

I use file/export/audio_mixdown for recording all tracks that are either
If I have my Yamaha keyboard on a midi track it won't record this with this method - I have to set my sound card up to be "record what you hear" and record the audio from the Yamaha (driven by the midi track) onto an audio track.
Then I do an export and it works fine.
I use C4 but for as long as I can remember this is the way to do it.
Maybe you've got a different problem or you are trying to record using a different method?