Cakewalk supports MCU, not sure Arturia really is (most controllers are not, independent from what they claim...).
If encoders are in endless mode, you need to Ctrl+Click in ACT MIDI instead of simple click and explain that to Sonar.
If you are seriously going to use it as a controller, you will hit limits rather fast (does not matter with ACT MIDI, Generic surface or Mackie Control). You will need to switch into AZ Controller to get more (+ AZ ACT Fix for controlling plug-ins).