What do you use this for? live performance?
I have a Korg 05/RW and yes it's (better?) sounds are not in GM mode. Have you tried your in GM mode? Myself I just look at the Korg patch/ instrument list and add that PG at the start of the midi sequence..but wait, that was with other software... I'm not sure how you add a PG tag to Sonar , never had to do it because I use nothing but soft synths for last 12 years.
And I too use downloaded midi files as well as my own so I use the TTS-1 to start with as that will play them correctly. I only keep the Korg patched in so I can listen to my old sequences. I then replace parts with better sounds found in Sonar.
here's Cakewalks help file which you probably already read.
https://www.cakewalk.com/Support/Knowledge-Base/2007013272/Instrument-Definitions