I've had a look at both the help file and the Sonar X1 Reference Guide.
In the Reference guide, at the bottom of page 933, it says:-
ProChannel presets are saved to disk as *.pcp files. By default, presets are stored in the <SONAR
program folder>\ProChannel presets folder. To change to the default preset folder, go to
Edit > Preferences > File - Folder Locations.
And yet, when you go to Preferences > File > Folder Locations, you are unable to specify a folder for ProChannel presets. So it looks like it is something that Cakewalk was supposed to implement, but forgot.
I think I'll have a poke around the various INI files and stuff, to see if I can find a folder path elsewhere, although, once you have found where your presets are stored, and browsed to that folder in Sonar, it should remember it.