You get this error because your CUEsheet file uses an APE file as audio input source, so you need to install an old version of Monkey's Audio software. Here you can download Monkey's Audio 4.06, while you can get latest version of the software from the official website. CUE Splitter uses Monkey's Audio Library version 4.0 (or above), therefore it is incompatible with previous version 3.99 (and lower).
If you already installed Monkey's Audio and still get this error, make sure that MACDll.dll version 4.0 is under '%WINDIR%\System32' or in the system search path, otherwise CUE Splitter can't recognize it correctly.
CUE Splitter generates CUEsheet files adding a personal comments and using a Unicode (UTF-16 encoding) file format; as it's default values. Unfortunately some versions of foobar2000 can't load CUEsheets with personal comments and/or saved in Unicode UTF-16 encoding format.
So to solve this problem you must open CUE Splitter and press F6 to enter into the configuration window. Then switch to the "Miscellaneous" tab. Uncheck the option "Insert customized 'CUE Splitter' comment on generated CUE sheet files" and select ANSI under the "Text encoding of automatically generated CUE sheet files" combobox.
Now foobar2000 can read CUEsheets without problem!