This is definitely a problem. It seems that Sonar is forgetting how to use the right-click, drag and highlight feature, which I use all the time. Here's how to replicate it:
1. First create a track with A) some audio FX in the Bin, and B) an audio clip in the actual track.
2. Now, click inside the FX Bin, or click an actual FX plugin to open it, as if to mess around with it, then close it.
3. Now right-click and drag "sweep" to select the audio clip(s) to highlight it with the glowing-blue box.
4. Let go of the right mouse button. The audio clip should be highlighted/active.
5. Now press the delete key. The FX plugin that had the brackets around it will be deleted.
UPDATE:
I just tried it in X3e, and the behavior is the same.
I just tried it in X2a, and the behavior is the same.
I just tried it in X1d, and the behavior does not exist because the right-click "glowing-box sweep" select does not exist.
So it appears we've been living with this buggy behavior since the X2 days.