I have a US-16x08. The software i/f is very similar. The following is supposed to work. I believe what happens is that, with the change, direct audio is feed to the phones and main outs. There's an issue, I believe, where the DAW audio is summed with the direct audio. I'm going to guess, that for this to work, you'll need to mute your mains in SONAR (edit: or, perhaps just the track(s) (instruments/vocals) you're recording; then the summing might be very useful (if a bit latent)).
Default:
To monitor direct:
HTH.
P.S. Here's the link the US-20x20 download page:
http://tascam.com/product/us-20x20/downloads/