I also frequently swap out effects during playback.  I also sometimes even want to swap out VST instruments while running the transport. 
 
A lot of people have been chiming in to say that doing these things is "asking for trouble".  That puts the onus on the user to know specifically which actions are "risky" in the program.  To me, this seems more like becoming complacent with features that don't work well rather than addressing the issue.
 

Hear, hear. If you shouldn't do it, Sonar should prevent you from doing it. There are actions you can't do with a running transport. Inserting and deleting fx aren't amongst them.
 
Often times I will simply add an EQ to a track. That's similar to hitting the "EQ in" button on a console while the playback is running. Seems a really basic action that shouldn't upset the software at all. It would quickly get annoying to mix if it weren't possible. 

Sanderxpander
Hear, hear. If you shouldn't do it, Sonar should prevent you from doing it. There are actions you can't do with a running transport. Inserting and deleting fx aren't amongst them.
 
Often times I will simply add an EQ to a track. That's similar to hitting the "EQ in" button on a console while the playback is running. Seems a really basic action that shouldn't upset the software at all. It would quickly get annoying to mix if it weren't possible. 

These are my thoughts as well. The (few) times I get sync issues from inserting or removing a plugin, I just press stop and play again, and all is well again. 

Yes I find it a pain to deal with, not sure how other DAWS deal with it