Do somebody know if its possible to change the sample rate of a midi session in Sonar?

Just change the audio driver setting in sonar preferences. since you have not recorded any audio that will change the sample rate.
 
If you also want to change the bit depth you can do that under the default for new projects. I think you will need to close and reopen the project before the bit depth will change.
 
I'm not in front of sonar so I don't have exact steps for you.

This is interesting as I have run into this problem with clock rate in reverse. 
I was using 48. and had to change to 44.1 because of my Yamaha 01v. 
So I have a dozen or so projects that open as 48 which makes a loud click as the audio engine shifts gears. They too are all MIDI and I thought I'll just change the clock rate, but even though it shows 48 in the Transport GUI, when I go to audio preferences it still shows as my default of 44.1. I see nowhere that you could change the clock rate other than that little box. Mix Control doesn't seem to have anything as well. So what Tom is saying doesn't really work.
I think the clock rate is embedded in the CWP file. So all I am doing is saving as a midi file and re opening fresh. Pain in the butt as then you have to re add all your soft synths etc. I might make a template and just drag and drop the midi tracks from one to the other. Only one song has a tempo map thank goodness.   

Sock Monkey when you start mix control what does your Saffire 6i6 boot to for a sample rate?  i.e. Open mix control before starting SONAR etc. and see what it shows as its sample rate in the box.  You may have to do this every time before starting any DAW software.
 
My Saffire 26 i/o initially booted to 48 but after I configured it to 44.1, as like you I also have an O1V, it normally boots to 44.1 though every now and then it has a hissy fit and warns about being in 48 mode.  
 
One other thing I always start my equivalent of Mix Control before starting SONAR which loads the preferred sample rate and sync device.