Clock Source: Midi Sync

I don't use my hardware this way, but look at:

OPTIONS>GLOBAL>TIMECODE

it appears that the behavior you want is in the first set of options to use ALWAYS SWITCH CLOCK SOURCE AND START
however, as you pointed out in your post you want it to do this for MIDI SYNC and not MTC.  so it APPEARS to me that this option is not available for MIDI SYNC.

Are you using the Sync toolbar?

There isn't much detail in the Help files. What there is suggests you are stuck with hitting the Sonar play/record buttons first.

"When SONAR is slaved to an external MIDI device, the following changes occur:
   
When you click the Play or Record button, a message (Waiting for MIDI Sync) is displayed in the status bar. When you start your external device, SONAR will follow.
   
If you change the tempo using an external device, the SMPTE time code display in SONAR will be incorrect.
   
SONAR will not transmit MIDI Start, Continue, Stop, and Clock messages.
   
Digital audio will play back, but not necessarily in sync. To Use MIDI Sync with SONAR as the Slave

1.Configure the external MIDI device you want to use as the master device to transmit MIDI Sync.

2.Configure external slave devices to receive MIDI Sync.

3.Choose Options > MIDI Devices to display the MIDI Devices dialog box.

4.Make sure that your MIDI interface is highlighted in the Inputs list, and click OK.

5.Click on the Sync toolbar to use the MIDI Sync clock source.
From now on, SONAR starts playback and recording only after the appropriate message is received from the master device."