I've read some forum treads and seems that this option is not presented in MusicBee. Maybe I missed something?
Would be nice to add the possibility to split CUE files (as in foobar). This will make MusicBee the only player you need for all tasks.
Besides, I do not if others also have this issue, but in my case CUE files tracks are not listed properly in library. It's okay if you open the CUE directly (right-click/open), all tracks are listed fine than, but if you put the CUE in your usual music library and re-scan the library, CUE shows just the first track tag.