mp3 Encoder Question

I'm not a Pyro user, but I don't think you can do that, unless a) Pyro supports invoking with command-line options that instruct it to load a file and encode it, or b) the encoder is a standalone executable with those capabilities. Otherwise, you'll have to export your song to a wave file, load it into Pyro and call up the conversion utility. I've been doing it that way for years (using Adobe Audition), a minor inconvenience but one I can easily live with.

I see bitflipper.

Yes, it is only a "minor" inconvenience, but it does make one wonder why Sonar X1 would have all those "export" options only to tell you at the last minute that "you can't export it this one just yet"!  

Kinda like showing a little kid his favorite piece of candy only to grab it back the instant he tries to take hold of it!

Gotcha! 
In a real mean kinda way!

Gottta love it.

And that's what SONAR does too.

If they leave it as part of the installation process a licence fee is payable by the manufacturer which they in turn would pass onto us.

In fact program's that do include the mp3 codecs all pay a licence fee. That fee gets passes onto the consumer each time they buy a new version or upgrade. The way Cakewalk do it you only pay one time as their activation scheme is good for life.
If you don't want the one that Cakewalk supply, they provide all the information to enable it yourself via their encoder configuration tool. All the documentation is part of the SONAR installer.