Ah. Okay so the patches in the hardware aren't in tune with the VST sounds.
Two options. You can check what the tuning base is for the hardware (most common would be Standard tuning A 440 or Concert Pitch which IIRC is A335).
If it's something weird (like A337 or something like that) then definitely change the base tuning of the keyboard to match Sonar (which should be A440). Even if it's A335 probably best to switch the keyboard to A440 which is what most people use (so for collabs or whatever it's better).
Check your hardware manual how to do that.
In Sonar though I think you may have to set the individual VSTis to whatever your keyboard's tuning is (if you don't want to switch to A440). I just tried to find a way to adjust global tuning (I thought there was a place to do that in Preferences).
If someone else knows where to do that then I'd be curious myself where the heck any Global tuning options live.
If A440 on the keyboard is not in tune to multiple Sonar synths (that are set to A440) then something else may be going on like maybe samplerate issues but for sure check how to sync your keyboard to the DAW properly.
Also (and I doubt this is the case because Roland at least makes decent keyboards) you could adjust by Cents on the keyboard (if that option is available) to tune it to Sonar's A440 (so if the keyboard is sharp at A440 tune it down to A339 or A338), if it's flat tune it up (to A441 or A442).
Also maybe check your MIDI interface software (if there is any) to see if there is a tuning base there that can be adjusted.
I don't use external hardware sound banks though so this isn't expert advice. Just some things I'd check out.
Cheers.