Can someone help with a MIDI problem?

In audio options inside of Sonar, change your buffer size....usually sliding it to the left will help.  slide it a little at a time and save your settings and then check by playing your Yamaha with a soft synth.
 
Peace.

So the OP seems to be saying the actual midi event (as opposed to the audible sound from the softsynth it triggers) is showing up late on the midi track/piano roll. It is not clear to me why that problem should be solved by making the audio buffer smaller. A too large midi buffer maybe. That sounds more like a symptom of delay compensation from a plugin on another track being applied to the midi track he is recording on to keep it in synch with playback.  Another possibility is a quantization setting that might push a slightly delayed key press/note on into to next partial beat.

"Why" is something I cannot answer; however, the audio buffer (in my case the ASIO buffer) makes a huge difference in latency (delay).
 
When tracking (recording) I go to Preferences | Drivers | Asio panel and, using the slider, set the value low (like 64 or 128) so there is almost no lag.
 
When mixing or using Meloldyne, I go back to the same place and set it to 1024.
 
If you hear crackling or if the audio stops, the buffer is too low.  The trick is to make it as low as possible during recording without too much annoying static so you don't have a lag (delay) when recording vocals or MIDI.
 
During mixing and editing, you want it back at a higher value so the audio is not messed up.
 
This advice has been shared by me and many others here because this problem is one of the most common in DAW recording.  You could have a different issue, but I will bet this is it.
 
>>You could also have a MIDI buffer issue.  I had to INCREASE (not decrease) mine to keep from Sonar from missing notes on playback.
 
Good luck! 
 
PS If Jim says anything different below, listen to him.   He is way smarter technically than me, although I am obviously more beautiful and talented.   Seriously, he's the dude on this stuff.

Thanks everyone.
Since I'm using ASIO, the Audio buffer size is grayed out. I changed the buffer size on my Octa-Capture to the minimum setting and did a quick test. That seems to have solved the problem, but I need to test a little more. I will try the tweak that 2:43AM mentioned if I need to.