Hey, this works for me!
1. Open a new "normal" Sonar project. 2. Click on File>Import>MIDI> (here I selected a random MIDI file on my hard drive with 11 tracks). This results in 11 MIDI tracks with MIDI data shown in the Sonar track pane. The console view in the docker below shows the channel strips. You will notice that the channel strips don't have any output assigned at this point. See step 3 below ...
3. This is an example using the Cakewalk TTS-1 General MIDI synth. (You could substitute any multi-timbral softsynth if you wish at this point.)
Click on Insert>Soft Synth>DirectX>Cakewalk TTS-1. The "Insert Soft Synth Options" menu has a few choices.
Select "First Synth Audio Output" to assign all MIDI channels to the same stereo audio output (best choice for TTS-1), or select "All synth audio outputs stereo/mono" to assign all MIDI channels to separate stereo/mono audio outputs. Audio track(s) will appear corresponding to your choice during the insert options. You should now see one or more audio tracks in the track pane and in the Console.
Edit: this function will be limited with TTS-1. Some soft synths only have one pair of outputs, so this will be dependent on the synth you use. For example, Kontakt can have multiple audio outs.
Hit "Play" and your MIDI file should play through the TTS-1 now (assuming the tracks were assigned as GM. If not you will have to assign instrument voices as desired for your arrangement).
A quick note on the routing details via the Console - simple version:
You should see the MIDI tracks routed to the Cakewalk TTS-1.
You should see the audio track(s) routed to "Master".
You should see "Master" routed to your audio hardware outputs.
Good luck and have fun!