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Wow I wrote a pretty decent reply on this thread, edited it once and its gone.
Cant wait for this forum software to be gone.

Let me have a go...
 
The Insert path on your interface is ahead of the Analog to Digital conversion. It's an analog path, so the driver that SONAR uses to talk to the interface cannot make it available directly to SONAR. All this path does is save you the trouble of having to unplug the sound source (e.g. mic), and 'insert' the compressor between the mic and the interface.
 
So you need to use the front panel I/O both to get the dry signal recorded, and to send/receive signal via the External Insert plugin to do real-time compression of the recorded signal on playback.
 
If you leave the compressor plugged into the interface's Insert, you will need to be able to bypass it during recording, either via a Bypass button on the compressor or possibly on the interface itself. If no bypass is available, you will need to unplug from the Insert while recording, and plug back in for playback.
 
After recording, and with the compressor now plugged into the Insert, and with an External Insert enabled on the recorded track and using an aux I/O path to the interface, you can play back the track and tweak the compressor while listening to the result in real time.
 
There will be latency that the External Insert can compensate. It comes from the D/A conversion on sending the dry playback to the the Interface and A/D conversion of the compressed signal coming back. Once it's back 'in the box', it will be mixed with appropriately delayed playback of any other existing tracks (and SONAR's audio metronome if enabled for playback), and sent back out to the interface's main outs in sync with them.
 
Clear as mud?

https://www.youtube.com/watch?v=lDZjQBA2LTk&t=502s
 
I like playing with compressors. I usually record direct, then send out to the compressor.
 
In this video, I record a single mic direct.
I send it out with some EQ on it to the first compressor where I compress some.
Next to another compressor to de-ess.
Next back in to be merged with the uncompressed track.
 
On both compressors, I use the side-chain input to control how the compressor triggers.
 
I show 3 spectral analyzers while I play a little so you can see the differences of the 3 items... uncompressed, compressed, and blended.
 
Then after I play a little, I sit back and exclusive solo each one.