To connect the Montage with Cubase Pro 11, as the interface looks a little different, I thought I should click on Studio->More Options->Midi Device Manager->Install Device. I see many synths/keyboards listed, but couldn't find Montage. I did see Yamaha MO (Yamaha). Is this for the Montage, or do I choose Define New, or am I way off in my thinking?

You are way off.. there does not exist a MIDI Device for MONTAGE. The MO was a Yamaha synth released in 2005 (long gone).
The MONTAGE can be setup without that (we’ll get back to the MIDI Device Manager, later). What you want to do first is download and install MONTAGE CONNECT for your computer type. This is a utility program that when installed on your computer will create a communication vehicle between Cubase Pro and your Synthesizer.. it will manage your MONTAGE Performance (sounds) for each Project. It runs as a VST plug-in.
It can be configured to capture your MONTAGE Performance when you SAVE the Cubase Pro Project and it can automatically restore your MONTAGE Performance each time you open the Project. Once configured it can run in the background keeping track of the synth housekeeping. It bundles your MONTAGE program with the Cubase Pro Project.
It can also be used to communicate directly with your MONTAGE’s “Pattern” Folder and “Song” Folder. You can literally drag and drop MONTAGE Sequences into a Cubase Project via the USB connection.
MONTAGE CONNECT also installs to Cubase Pro the “Recording” Templates for “Yamaha MONTAGE multi channel recording” and “Yamaha MONTAGE stereo recording” — these two Recording Templates automatically configure your New Project with a setup that makes using this a breeze.
The Multi channel recording template sets up 17 MIDI Tracks (in a Folder named “MONTAGE MIDI” ) assigned to your MONTAGE.. one for System Exclusive messages, and one for each of the 16 synth Parts. It also sets up an Audio Folder, named MONTAGE Audio”, with 16 Stereo Audio Tracks.
It also configures MONTAGE CONNECT which will automatically open with each Project.
Eventually, you will want to learn, how to setup and configure your own- but this is best left until you know enough to have a workflow preference. While the templates are a shortcut, they can get you up and running with a minimum amount of frustration. Learning how the templates were made, will come and you will get to the point where you can make, name and store your own template based on how you like to work. The reason to start with a template is simply to get to where you can record, playback and render audio without having to read most of the 1100 page Operation Manual (yikes!). The Recording templates were developed by someone sitting at a MONTAGE with Cubase Pro - the template can ease the learning curve — a great deal, trust me. Hopefully, you become naturally curious and begin to develop your own workflow.. a little at a time.
Once the basic stuff is configured (preferences), Cubase Pro will remember your settings.. Cubase Pro can run on a Mac or a PC.. the steps to do the initial settings are just different enough for us to have ask are you setting up on Windows or MacOS, and what OS your computer is running.
Let us know and we’d be happy to get you up and running.