Are you sure you want local control off? If you do that, the keyboard will not do anything and you won't be able to send MIDI to Sonar.
I think you just want to (1) turn the volume down or off on the Roland or (2) mute the track that is receiving the audio from the Roland. (Of course, you don't have to have a track for the Roland audio if you only want to use the virtual instrument.)
I use external keyboards a lot. I used to use a synth to play the notes I wanted, but lately, I use a controller keyboard that doesn't make any sound, if which case LOCAL OFF is fine for the synth.
You can add an effect to just a clip within a track, but I find it easier just to turn the effect off and on using automation. Turn WRITE ON for the track, play the track, and then click the power button on the effect off and on as desired in the effects bin (or in the Pro Channel). You can see these ONs and OFFs and automation events and move them around later if you want. That takes more explanation so I will wait to see if you need help with that.
For MUST HAVES, I can't live without RealGuitar, Ivory Grands, and my Vienna Orchestra--but it all depends on what kind of music you do and how much you want to spend. If you don't really know how to arrange for orchestras, Vienna would cost more than you'd want to spend.
***The full version of Kontack will pay you back what you spend 100 times because 1-you will get most virtual instruments you will need bundled with it (except for something like RealGuitar) and 2-with the full player, you will find a whole world of free or very inexpensive VIs.*** For effects plug-ins, I am usually happy with what came with Sonar although I do use GuitarRig a lot, and I really like Abbey Road's ADT (Automatic Double Track). Guitar Rig gets a lot of use. ADT is super cool, but more for special situations. I just used it to create an awesome fake double-tracked 60s-sounding flute solo in a rock song. The solo on my record was a complex, but I had fun playing Swinging Safari on the ADT flute because of the retro sound. I could almost see Marcia Brady coming up the walk.