The dialog as such is a Good Thing, I think. I can identify with a new user adding a new midi track (ESPECIALLY a new midi track) and wondering - OK, now what.
But if we want to use it, we have to remember it's under the new button.
And if we don't want it, we have to use another way (Ins-key, say)
And if we hit the Ins-key and there's no tracks yet, we see a different dialog.
And if we insert a midi VSTi, we see yet another dialog.
So for a future version, some sort of unification might be in order.
I also feel strongly that, if it allows adding multiple tracks, it may as well also allow the user to decide beforehand where to put them. See the Clone Tracks dialog, keeping in mind it pre-dates Folders and only addresses positioning in terms of track numbers.
Edit: But this suggestion is mainly because repositioning multiple tracks in Sonar is - well. At the risk of repeating myself, allowing drag-drop of more than one track at a time would probably be a far better place to do this, esp. since we are thinking of the new user.