I have managed to so this, after several hours of tearing my hair out. I find Studio One to be so unintuitive. I should say that this is on a Mac, but probably the same. My audio interface is PreSonus AudioBox iTwo, connected via USB to the Mac. Brute is connected to input of iTwo. I assume you have selected your PreSonus interface in the Studio One setup.
1) In Studio One you need to create a new Instrument external device (you can create a Keyboard too, if you want to record the notes from your Brute - see below). I've called mine "Brute Instrument". Keep "Receive From" as "not connected". For "Send to", select "In 2" which I guess is the name Arturia have given to the USB MIDI input.
2) Create an instrument track for your MIDI. The Instrument Output for this track should be "Brute Instrument" or whatever you named it in step 1.
3) Create an audio track to receive the audio from the Brute. Select the appropriate input from your PreSonus interface, mine is called "Input 2". Arm the track for record.
Now any notes you have on the MIDI Instrument track will be sent via USB to the Brute's input, and the audio output from Brute will be recorded onto the audio track.
As mentioned, you can add an external Keyboard (not Instrument) in Studio One to record the MIDI notes from the Brute. Leave the "Send to" as not connected, and the "receive from" should be "Out 2", with the appropriate MIDI channel selected (or All).
Hope this helps.