Midi & Default colors?

Some of this is basic, and you probably already know a lot of it, but just in case:
 
MIDI is performance data that drives a synth; it has no audio content. The synth generates audio with timing and duration based on those instructions, and with timbre of the sound based on the synth's internal programming (MIDI controllers  and note velocity can modify this to some extent also based on synth programming).
 
If the synth is external, you must have an audio track receiving the sound output via an audio interface in order to record it. Also, the preferred method of monitoring an external synth is to have an audio track with Input Echo enabled to echo it back out to your monitoring system, rather than direct monitoring. This allows you to process the input signal with effects real time inside SONAR, and hear that processed signal while you perform live.
 
You can record MIDI from a keyboard synth, and play it back, all with the audio from the synth going directly to your monitoring system, but at some point, you'll need to route that audio signal into SONAR and record it in order to eventually generate an duio file that you can play on another system and share with others.
 
And you'll wnat to set Local Control OFF in your keyboard synth's setting and echo MIDI from it's keyboard through the MIDI track and back to the synth. This applies to separate keyboards and hardware synths as well. This prevents doubled notes in the sound from the external synth and having the synth always generating output even when you are trying to play a soft synth.
 
As for colors, SONAR comes with a default color file that you can re-import. I've never actually used Defaults: All Colors, and it doesn't appear to be documented in the Ref. Guide, but, yes, I would guess that will re-import the default .CLR file. from AppData.
 
Hope that helps.

You do not need an audio track to record midi, nor do you need "Allow midi recording without an armed track" checked. I record midi only when I'm recording multiple midi tracks from my sequencer/workstation. I use direct monitoring, and do not need (or want) to have an audio track.
 
On the midi track, next to the mute and solo buttons, is a record arm button. you need to click that (it will turn red) to "arm" the track before you can record to that track. You can do this with multiple midi tracks simultaneously if you are recording multiple parts in one go. Then click the master record button.
 
The "Allow midi recording without an armed track" simply makes the midi tracks assume they are always armed, and it will give you grief if you are recording separate parts in multiple takes across multiple tracks. :)

If it doesn't start recording, you might not have a clock source set. I'm out at the moment and not by may daw, but in preferences there are setting for the playback and recording master clock, as well as a set of radio buttons that controls sonar's behaviour in the presence of a clock source. If sonar is not setup with a clock source, (on my laptop, the clock sources have a habit of unsetting themselves) sonar will refuse to record midi unless you have an audio track. The audio device input connected to the track becomes the clock source. Unfortunately I don't recall what my settings off the top of ky head. :(

When I get back home, I'll post my clock source configuration for you to compare against.
What audio/midi interface do you have?

On my laptop I use either a US144Mk2 (recording or working with midi) or a UG1A (when just mixing, its a lot more portable).
 
In the Driver Settings page, I have my interface set as the Playback and record timing masters. Sometimes these get blanked out, and I have to reset them. This is usually due to windows grabbing the drivers.
 
On the sync and cache page,
- I have trigger & freewheel set, unless I'm recording output from a sequencer.
- The "When SMPTE/MTC is detected" I have set to "Ask first, then switch clock and start" set.
- Currently, the "pressing play in sonar will" is set to "switch current clock and start playback" set.
 
Hopefully this will get you working as well. :)