Most controls on your keyboard generate MIDI messages. That is also true for the fader or the wheel.
For Sonar, all that information is in the same stream as used for keys, I mean it is recorded into MIDI track and it is sent to VSTi. If your VSTi can interpret CC7, it react on it. Usually controlling the velocity/volume but theoretically can be something else (can be "MIDI learned" in some plug-ins).
By default for Sonar MIDI messages have no special meaning or interpretation. But you can:
1) in Sonar preferences "MIDI / Playback and recording" you can select which type of MIDI messages you want record
2) you can MIDI learn Sonar parameters, that is called "Remote control..." in the right click menu for control. Check the latest tip from Craig ("Beyond MIDI learn") for possible use case.
3) you can instantiate some Control Surface plug-in in Sonar Control Surfaces preferences (ACT MIDI/Generic surface) and learn you control there. If some MIDI message is assigned as a Surface control, it is no longer recorded/sent to VSTi. Big advantage over "Remote control" is flexibility and no dependence from the project. For example, you can set your fader as Sonar Volume control for track and then switch which track is controlled using WAI (color indicator in the track and console views).