I assume you're using ASIO? If so that would explain it. IIRC you have two options...
1. Run SONAR using a Windows driver mode, like WDM.
2. Don't know what version of Windows you're using, but go into the Windows audio settings and set the Focusrite as the default for Windows.
Circle back and let me know if that helps.
Remember that the big advantage of using Windows drivers is that, like the Mac's Core Audio, they can aggregate interfaces and run sound for different programs simultaneously. However ASIO will usually give a performance edge (YMMV) with high-performance audio applications like SONAR, so you have to decide which is more relevant to your needs.