Just tested with Sonar Plat 4/2016 and saw midi notes written as expected.  I tested by putting a mic over my midi controller so when I hit a midi note the click of the key was also recorded on an audio track.  I enabled recording of the midi in and mic audio.  Both events line up as expected.  As for my timing, that's another story.

(chuckling) "Playing ahead of the beat".
No... I'm not having the  same issue in Cubase and other programs. Just Cakewalk.
I did not upgrade to the new version because Cakewalk had promised to fix the (known) issue for a few version but it never was fixed.
I tried to open a ticket so I could include vid, but there appears to be no support option for Cakewalk X3 (or at least for me... The option is no longer available from the support drop down.)
I have changed computers a few times and the issue stays.
I think everyone who replied.
Maybe I just have to keep aiming my projects into cubase.
Step

Have you selected another driver in other programs and another one in Sonar. I have the same issue in all my daws. May be the core issue is diff for me. Yet do confirm once again.

Same ASIO driver in the DAWs I've used. Cubase seems to work realy well, although I don't like mixing in Cubase. Mixing in Sonar is great fro me once I tediously correct each track. 
I'm considering tracking in Cubase and exporting the stems to Cakewalk for final mixing.
 

For those who need proof.
Here's the demonstration:
I record a CLICK on every 1/4 note. 
Quantize.
Play the track.
While playing, I turn the meronome on and the metronome can be heard firing before the beat.
Link to video demonstrating this:
https://youtu.be/KX-JkSnLJjE
Suggestions welcome.
It's been YEARS and Cakewalk has yet to fix this one. They have admitted it is a bug that exists but they do nothing more than promise that it will be fixed "in the next version."
It never is.

Thats odd. I have tried to recreate your metronome sync problem you demonstrated in the video. To me the metronome is always in sync provided the notes are quantised. Do you have any problem like the midi notes appearing early as well? if not then this is something particular abt the metronome and diff from the OP's problem. As far as I can remember I have my midi notes appearing ahead problem in all my daws.  If you have problem with midi notes timing as well and it does not occur in Cubase, then I am gonna trial cubase and check. 

Wow - I see what you mean. I have never encountered this issue myself. Is the metronome triggering via audio or midi?

Here's a thread I started demonstrating the same. http://forum.cakewalk.com/Natural-Human-playing-in-the-PRV-grid-m3398979.aspx It was doubted that I am experiencing this problem as I am using my inbuilt soundcard to record. Which may be the cause. Too tempted to spend money on sample libraries I still haven't got a dedicated audio interface. But here it seems people with dedicated interfaces are also experiencing the same problem. 

Do go through this thread. http://forum.cakewalk.com/Natural-Human-playing-in-the-PRV-grid-m3398979.aspx We haven't reached to any solution but you will get an idea how to easily move the notes to the exact ticks so that they get placed where they should be.
If time is of essence I will copy paste two posts from that thread in my next post. Go through it

You can see most notes are ahead of the grid line.

120bpm 31ms rountrip latency
(open in new tab for high res)




75bpm 31ms roundtrip latency






Diff one with same 75bpm 31ms roundtrip latency

I agree with some of you guys telling  'if it sounds right, it is right'. That's true that's the only thing that matters. What I have noticed always is that when I play and record it sounds so perfect but when I play back the recorded midi take I notice a bit of unnatural sync. Very minute though. I move the recorded notes a bit towards the grid and it sounds better.

here is what I did.
I recorded a take with synth audio track armed. 
This is what I got



Zoomed in


The audio was 10ms delayed than the midi note.

Then I noticed that My ASIO reported total roundtrip latency is 10.9ms as well




I changed my ASIO buffer size to max.



Now the reported total roundtrip latency is 100.9ms

Now I recorded a take again with synth audio track armed.

Got this



Zoomed In



The audio here was 100ms delayed than the midi note 

So although the midi note got recorded few ms ahead of the beat the audio is where it should be. 
So I can leave the notes there itself right? NO NO NO!!!! BIG NO!

Now I deleted the recorded synth's audio. And recorded it again(only the audio from the pre recorded midi). This will help me know whether the audio will still be delayed than the midi note while playing back the recorded midi.

This is what I got 
For 10ms



For 100ms



As you guys can see. The audio gets played just where the midi notes are without any delay.

What can we conclude from this-

1.While recording if there is latency in roundtrip. There is a latency between audio and midi. We humans will play the notes slightly ahead so that our ears will perceive the audio in sync with the timing of the metronome/other instruments. Yes the audio we hear while we play is  correctly in sync, but inorder to sync the audio we compromise by playing the notes slightly ahead
OR
The DAW records them slightly ahead so that we hear the audio in sync. (I am not sure which case is true but either way we know that the midi is recorded slightly ahead depending on the latency)

2.However while we playback there is no latency between audio and midi and we end up hearing the audio aswell slightly ahead of the beat(if the midi notes are ahead of the beats)

 How can we fix this

1.Move all the midi notes exactly __ms forward(depending on your reported latency)
2.You can also record the audio along with the midi while recording and then keep the audio and delete the midi.(This is not a good idea though as you cant edit the midi notes.  what's the advantage of using midi then)
3.Record the audio along with the midi and then move and align the midi notes straight to the audio transients and go on and delete the audio.

Point 1. will work for me.

But is there someother way to do this much more easily?

brundlefly mentions of having timing offset in preferences. Can that help. May be!

Or may be Bakers can provide us with an potion to override this automatically in sonar. May be we need a Midi Delay Compensation  Guess we will be the first to introduce that. 

I am no expert. Just a lay user wondering of stuffs. If I have noted something technically wrong here please correct me.

Thanks.