It happens because the sequencer is stopped before sending a note stop MIDI message (if it is in a middle of a long note). It also happened to me when using GPO studio. I\'ll investigate if using an \"all notes stop\" MIDI controller message will help and how to automate that although I would\'ve imagined that the sequencer would do that automatically.
I use the same sequencer, Cubase SX v2.0.1 and GPO VST and do not have this problem, when I hit stop there is a all notes stop midi message sent out that cuts the note, even if I stop it in the middle of a sustain.
Go through your preferences and make sure you haven\'t accidentally turned this feature off. I am not at home right now, so I don\'t have SX in front of me, but I will look into it when I\'m home this evening to see if I can give you better directions than that...
I had a very similar problem. After a while I found out that in the Kontakt settings I set the pedal mode to \"Normal\" (I was playing around with the Steinway) and forgot to switch it back to \"midi cc\". Try checking if this setting is wrong in your Kontakt instance.