Honestly, the Borg cube stuff is probably the weakest aspect of the show, mostly because it's just pretty confusing and very little about its intent/point is explained. There's a Romulan bad guy skulking about, but his motives and goals aren't clear, either. Other than Dahj's sister being there, it would seem to have no bearing to anything Picard is doing.
I don't mind that as much. It's a big galaxy, lots of stuff has got to be happening that wasn't explicitly the plot of a series episode or movie. If the Romulans captured a cube—hell, even if they went and finished off the Borg after Janeway was done with them—and this is just dropped in dialogue, I would be OK with it.