After doing a little digging, I'm not sure this is strictly a SONAR problem. It's certainly not unique to Satin.
The same problem has been reported using Zebra, Diva, ACE, Uhbik and TyrellN6. When I googled it I found reports of it happening under Cubase, Samplitude, Reaper, Ableton and FL Studio and Tracktion.
Plugin developers have been struggling with it for some time (going back 6-7 years at least). There are a couple of lengthy
threads about it in the
JUCE forum. Reading them reveals just how difficult the problem is. The takeaway I got from those threads is that plugin devs can't use generic modal dialogs that rely on the O/S to handle keystroke dispatching, but have to write their own, plus they have to handle each DAW a little differently.
Some have suggested that Cakewalk isn't working on this, that they've blown it off. I doubt that very much. It's just that the solution isn't going to be a simple one. Whatever the ultimate solution, it will likely require some collaboration between Cakewalk and u-He, and CW will have to proceed very, very carefully to avoid introducing new incompatibilities with other plugins.
BTW, this issue isn't specific to DAWs and VSTs; all software that requires intercepting and relaying keystrokes to child windows may have to deal with this. I know I have.