Sending data out and reading it back in with a short buffer is unfortunately going to be a CPU intensive operation. Yes, the computer isn't doing much processing on it, but there are 2 extra burdens involved when you do this:
 
1) Sonar has to repeatedly fill this extra output buffer and repeatedly read the extra input buffer. The lower the latency, the more CPU time this uses (because a larger proportion of time is spent servicing the buffers relative to actually reading and writing from them).
2) With USB or Firewire devices used to interface between the PC and the external hardware, the operating system has to repeatedly poll the PC to ask for new data and to tell it when new data has arrived.
 
It's not like just patching in a couple of wires, sadly; it's more like attending a mailbox, hundreds of times a second.
 
So it's not really a bug. Just a fact of life when throwing an extra audio round-trip into the mix. And if your CPU is already at 25% when you're not even doing anything, that implies either a heavy load or a fairly slow CPU by today's standards. (On this site - http://www.cpubenchmark.net/high_end_cpus.html - it ranks about 200 places lower than the i7 I bought exactly 3 years ago. You may need to consider running at lower latencies or maybe even a system upgrade.)

Anderton
Kylotan, off-topic, but based on the clarity of what I've read in your various posts, I can think of several owner's manuals I wish you would have written... 

Yes anything from Roland!