I do not understand these things

Input echo will allow you to hear live input of an instrument - so with a synth, it will allow you to hear the output of a synth as you play it on a midi keyboard. Once the midi has been recorded in Sonar, the synth will play that midi data if echo is off. If echo is on the synth will still play recorded midi but will also respond to midi data coming in from your midi keyboard.
 
It is easier to understand Input echo in terms of recording a mic/line audio input rather than a synth. With echo turned off you would not hear a mic signal unless recording. Once recorded you would hear the resulting recording. But say you wanted to practice your vocals before you record - you want to hear the mic without recording. So to do that you turn on input echo. Now you can hear your voice for setting levels, rehearsing etc. It's the same with midi instruments - echo allows you to hear the sound without recording.