How do I prevent auto creation of individual project folder?

There's been a change in 2017.6 as follows.
" Improved Project Handling
Platinum, Professional, and Artist
When creating a new project using the Start Screen “Create Project” or Ctrl + N, it used to be
necessary to create a folder prior to saving if you wanted to organize audio, MixScenes, and the
project file itself into a common folder location. Starting with the 2017.06 update, SONAR will
now create a folder when you save, providing that “Copy All Audio with Project” is selected in
the Save dialog box.
The new method of project handling also improves the behavior of the “Save As” and “Save As
Copy” options. When using the same location as the current project to save a revision, SONAR
knows this is the original location, and will save the revision without creating an additional
folder. However, if you choose a new location for the project (i.e., create a new folder to hold
the project, or navigate to an existing folder), SONAR will place the project and its associated
audio files into that folder when the “Copy All Audio with Project” option is checked.
Note that the improved project handling is designed to affect only project files. The behavior
for template files, bundle files, and MIDI files remains unchanged. "

It says that MIDI files are unaffected but maybe disable the check box in the save dialog "Copy all audio with Project Files.

Are you saving direct to MIDI or are you creating a Cakewalk project? Sonar handles MIDI data natively and you don't have to create a cakewalk.cwp file. Instead of saving the file, try exporting the MIDI data and give that a try.