Looks like I was right,uhh,it`s a shame to take away such a good feature when the product should be improving.
Peace

It took me quite a while to figure out how to midi control TH3 as a plugin in Sonar but finally succeeded.  I just tested that I am able to control TH3 with a midi controller as well as record those changes (program changes, continuous controllers) to a midi track and play them back.  You have to have 2 tracks - one for the guitar audio coming from your Music interface and a second track for the Midi.  You have to assign these tracks precisely for it to work.  Below are my notes I have on the details.  To avoid going thru this repeatedly, I created a track template for both tracks and just call that up inserting TH3 into a new project.
 
Steps:
TH3 needs to be manually configured as a synth and effect in Sonar. To do this follow the steps below:
1. Go to the Cakewalk Plug-in manager window: Tools/Cakewalk plugin manager.
2. Find TH3 in the VST Audio Effects (VST) list.
3. Click the Plug-in Properties button in the VST Configuration group.
4. Click on “Enable as plugin” and “Configure as Synth” button.
5. Close and exit.
6. Create an "audio track".  Insert TH3 in the “effects bin” of this track.  Set that track Input to whatever your audio interface guitar inputs are and the output to whatever your audio interface outputs are.
7. Create a new "MIDI track" and set the track’s output to TH3 and input to whatever midi channel your midi controller is transmitting on.  You should be able to record and playback program changes, continuous controllers, etc. in this track.
8. Make sure to turn on Midi Echo on both tracks.
 

Starting with X3 it is not necessary to configure FX plug-ins as synths to send or receive MIDI data. Instead use the VST drop down in the standard header to Enable MIDI Input/Output.
 
Are you using the full version of TH3 or TH3 Cakewalk? My problem (and I believe the OP's too) is with the VST3 TH3 Cakewalk. I do not have the full version. From the Overloud website is appears the full version is not available in VST3 format.

Could you please elaborate on "use the VST drop down in the standard header to Enable MIDI Input/Output"?  Where is the standard header found?  Would I have to create an audio track or just a TH3 instrument track?
 
Yes, I have full version of TH3 direct from Overloud.  I didn't know TH3 was available thru Cakewalk yet.  The Overloud rep told me they were negotiating with Cakewalk to make TH3 available (stripped down version) but that was a couple months ago.

The standard header is above the plug-in UI. The routing is the same as you describe, the plug-in goes in the FX rack and a MIDI track is used to connect the controller to the plug-in.

For some reason, I can't get midi control of TH3 to work unless "Configure as synth" is checked on.  I verified the header has Enable Midi Input checked on.

I do not have the plug-in to test but it would be the first of the MIDI capable VST2 FX that I recall being reported which did not work by simply changing the setting in the standard header.

craigr68
Could you please elaborate on "use the VST drop down in the standard header to Enable MIDI Input/Output"?  Where is the standard header found?  Would I have to create an audio track or just a TH3 instrument track?
 
Yes, I have full version of TH3 direct from Overloud.  I didn't know TH3 was available thru Cakewalk yet.  The Overloud rep told me they were negotiating with Cakewalk to make TH3 available (stripped down version) but that was a couple months ago.

TH3 Cakewalk should be released this week with the 2016.04 download in one of the FX listings under Sonar.

Yes I did all that,that is how TH2 used to work,still no go for me.
I just want to write patches via the Event list view ,I do not have any controller.
I am using TH3 that is with 2016.04 download ,but have put it in full Demo mode for 15 days to try it.
Thanks for all the feedback.I`ll keep trying.
Peace

""MIDI Bank change is fully supported: you can select all 999 banks, as well as you can switch between Factory and User Banks.
MIDI Program Change
When you look at the Sound panel of TH2, you can see that Sound numbers are displayed in a SS.V format where SS stands for the Sound number (00 to 12) and V stands for the Variation number (1 to 8). Quite simply this number (leaving out the dot) represents the MIDI Program Change you have to send remotely in order to select that Variation inside TH2. As an example, if you want to select Variation 2 in Sound 03 (reading 03.2 on TH2 Sound panel), then you will have to send a MIDI Program Change 032""
 
These words are taken from the TH2 Manual, there`s nothing like it in TH3 Manual.
This should explain what I need to do and how I did it with TH2.
Peace