You might have to remove the check box for whatever device is set in Sonar, for it to see the other, but yeah if using ASIO driver mode and also either sharing with other applications or having it set as the default Windows audio device, it may well be hijacked and then unavailable to Sonar. (I think I had something along those lines eons ago - might be worth a quick try).
Or, maybe I just need a lot more coffee.... :)
Bob Bone