Connect Sonar X3 Producer and Arturia Microbrute

I don't own a microbrute, but I do have several hardware synths, so this is a bit of a generic answer, but I think it should work.

Connect the Microbrute via USB. That handles MIDI from/to the synth, and should show up in Sonar as MIDI ins and outs. You may need to check in preferences that the relevant MIDI ports are activated for use in Sonar.

To record the MIDI use a MIDI track with it's input and output pointed at the synth, and set to the correct channel. If you've managed to record the MIDI sequence data from the synth it sounds like you've already got this sorted. There is no need for an additional MIDI cable.

To record the synth's audio output you need an audio track. Plug the synth's audio out into suitable inputs on your interface/sound card and set the audio track up to have those inputs as source and the track's output to the master bus (or wherever else you want to send it).

That should allow you to record the MIDI you play and send it to the synth on playback and to record the resulting audio. One thing to watch is that you don't necessarily want the MIDI you've already recorded to be operating the synth while playing or Sonar to echo the MIDI back to the synth immediately after you've played it. If this happens you get a kind of echoing repeat as the synth is triggered twice, once by you then a few milliseconds afterwards by Sonar echoing back the MIDI.

Some synths get round this by having an option to switch "local control" off. If the Microbrute can do this, set it like that then set the MIDI channel in Sonar to echo the MIDI back. That way when you play a note The synth ignores the keyboard or control, while Sonar receives the MIDI then echoes it straight back to the synth which plays it. If you can' turn local control off, then disable input echo on the MIDI channel.

As to whether you can record control changes etc., that's down to whether the synth sends MIDI controller signals out or not. If it does, these will be recorded in the MIDI track the same as notes, if it doesn't then it doesn't and that's that. Some synths do while others don't.

Edited to remove gibberish from ipad spellchecker.

A quick google tells me the Microbrute only sends/receives MIDI CC messages for the mod wheel plus the keyboard output, nothing else.
 
Most analogue voltage controlled synthesisers don't send CCs for very much, if anything at all. It's how old-school voltage-controlled analogue works. For another example, my Korg MS-20Mini has USB MIDI and a MIDI in, but only sends or receives MIDI note-on (just the keyboard basically) at fixed velocity, and no MIDI CCs at all.
 
Some analogue gear will send CCs but that tends to be insruments using analogue audio circuits that are digitally (usually MIDI) controlled such as the Dave Smith Mopho and Evolver.
 
The advantage of the synth not being digitally controlled is there's no "stepping" as things like the filter cutoff or LFOs are moved through their range. Stepping can be very noticeable at high filter cutoff or LFO settings for example if the cutoff can only move one MIDI step at a time, there being only 128 MIDI values, unless NRPNs are used (the Mopho uses 160 NRPN steps for the filter but it's still noticable if you are looking for a really smooth filter sweep). The disadvantage of pure voltage control is you can't sequence control movements without using a sequencer that sends the required control voltages. It's all about compromise.
 
It is possible to convert MIDI to control voltage using additional hardware, but it's not a simple thing to do. Another option might be something like the Doepfer Dark Time connected to the Microbrute's modulation matrix patch bay. You won't get the kind of complexity and control you get from sequencing in a DAW, but hardware sequencers have their own charm and working within their restrictions can lead to some surprisingly creative results. As Wendy Carlos, Giorgio Moroder, Klaus Schultz, Kraftwerk, Hawkwind, Depeche Mode, Pink Floyd and many others have proved.