Sonar will secretly send controller messages even if the midi shows no events.
If you are so careless as to touch any knob or slider for the track, even if you put it back to the default: you've triggered one of Sonar's many monster functions. Now there will be several midi messages sent.
To see them, go into Kontakt, assign an instrument, edit with the Wrench (but don't save later ...). Open Script editor. Add a preset: "Factory: Utitlities: Midi Monitor". Check "Verbose". Check All the options on the right side (Controller, Channel Pressure, Note Off, RPN/NRPN, etc). If you can find a midi track where nothing was ever touched -- no data except All Notes Off (CC 123). If you've touched volume, suddenly you'll be getting CC1, CC7, and CC11 too. If you've touched pan, even if reset, then you'll always get CC10 messages.
Press play. You'll see the damn program has sent messages: CC1, CC7, CC11, CC123 (this may be project dependent). NOW if your preferences still have "Reset to Zero", as Dan said, those controllers that Sonar volunteered for you are going to be put at zero when you press Stop.
So: go to preferences and uncheck that option. You'll have to do it over and over, for some reason Sonar resets it pretty often whether you like it or not (perhaps from opening a new project?) Unless you use the Volume, Pan etc on the track: don't dare touch the sliders/knobs.