(Edited content - now that I see you are all sorted out)
Here are a couple of other considerations
1) Many instruments, particularly sample-based ones, have playable ranges of notes that are often rather narrow. This can result in the notes you are playing on your actual keyboard being out of the playable range for the instrument. (I've done that many times - specially for instruments like violin - when I tap a key or two on my controller to make sure sound is playing for a loaded instrument, the way I normally sit, the natural reach is to the lower notes of my controller, which is often too low to trigger any notes within the playable range for a violin).
2) Double-check that the midi track's Output is actually routed properly to the correct synth-rack instrument. Sonar defaults to set the Output assignment for that midi track to be whatever the first loaded synth in the synth rack is. I sometimes forget to double-check this.
Bob Bone