The different opinions pushed me to dig a bit deeper and I found the following in the X2 and X3 online documentation (I can't access for more recent Sonars, but I presume the text is unchanged) :
 
"You can also have multiple performers on different controllers sending MIDI data to either the same synth or multiple synths."
 
and
 
"To play one synth at a time from one or more MIDI keyboards
Since this is SONAR’s default behavior, simply use the UP ARROW or DOWN ARROW keys on your computer keyboard to choose the current track (the current track has a lighter track name background color), and use the Track Inspector or Console view to choose the synth you want to play by using the track’s Output, Bank, Patch, and Channel fields. With the default behavior, all MIDI input from all ports and channels is merged and sent through the current track. Notice that the track’s Input field says Omni."
 

This very interesting. It opens up things I haven't thought of.

Let me try to describe the whole picture:
 
The input of MIDI track in Sonar can either be ONE device or ALL devices (Omni). But not some subset of them.
 
Input MIDI is transfered to VST in case "Input Echo" is set. By default, it is in "Automatic" mode, so Echo is active on focused track and deactivated on all other. But Echo can be switched to "Always active" easily.
 
If we have E-Drum and 2 keyboards and we want control Drum VST and E-Piano VST.
 
1) if we play/record only one of these VSTs per time, we can set all tracks input to Omni and leave Echo in automatic mode. The data from all 3 MIDI sources goes to focused track (the result is recorded into one clip, independent from the device). We change the VST we control by moving focus (as already mentioned by keyboard, but also by mouse or with Control Surface plug-in by any particular (MIDI) keyboard key, controller or drum pad).
 
2) if we want control Drum VST by E-Drum and E-Piano VST by 2 MIDI keyboards simultaneously, we can not use Omni on ANY track since this track will use ALL devices than. So we need 3 tracks, one with E-Drum (only!) as the input and 2 for each MIDI keyboards with related Inputs (note that Global Omni is not the same as Device Omni, the last just means all MIDI channels from one device while the first means all devices). We also should force "Input Echo" always active for all 3 tracks. We set output from the first stack to the Drum VST and outputs from the second and the third tracks to E-Piano VST.
 
When recording there will be 2 separate tracks for E-Piano. It is possible to see them both in the PRV or just merge them (by MIDI bouncing the track with all (also overlapped) MIDI clips).
 
Note: when using Omni inputs, check that your VSTs have no "MIDI Output" enabled. VST MIDI Outputs are valid MIDI track inputs, so they can "leak" into Omny tracks! Example: if E-Piano VST has "MIDI Output" active and we use approach 1 (with Omni inputs). Initially everything is fine. But once we have recorded E-Piano and have switched the focus to the Drum track, E-Piano MIDI track data can leak throw E-Piano VST to our Drum track.That does not happened all the time, since most VSTs are not sending MIDI on the output, even when it is enabled. But once you get the effect, it is confusing.
 

 
Thanks azslow3 for such a complete explanation.
 
So we can either record both piano keyboards into a single midi track if it's the only instrument being recorded, or record into two separate midi tracks which can eventually be merged back into one.  Looks good.
 
 
 
 
 

I use this MIDI merger, which allows me to drive my VoiceLive Touch unit from two keyboards at once.
 

There are also 4- and 8-channel versions, the latter being a rack-mount. It's powered from the keyboard so no batteries or wall-warts needed. Just make sure at least one of your controllers can power an external device (one of my keyboards can't, so I have to make sure to plug the one that does into the In1/Power input).
 
This is just one of the reasons I prefer DIN connections over USB for MIDI.

Personally I prefer USB to hardware MIDI merging. Simpler to deal with as each device has its own port, MIDI can easily be merged or routed as required in software, and no need to shell out on a merge box.

As for the MIDI "Omni" setting, personally I avoid it because I have quite a bit of MIDI hardware, including sequencers which transmit MIDI while running and synths which transmit MIDI CCs when tweaked, so selecting "omni" as a track input is a thing I'm careful to avoid.

I use 3 keyboards, an A-PRO 800, my old Roland XP-10 synth and AKAI LPK-25 mini keys. I have no trouble using two of the keyboards to extend the range, the LPK-25 is mostly used for key switches.
 
Depending on the VSTi even if the keyboards are set to different channels this still works if the input to Sonar and the VSTi is set to OMNI.
 
The A-PRO and LPK25 each uses their own USB connection and the XP-10 is connected via my Quad Capture MIDI port.

The OP mentioned considering buying an A-PRO controller, which already has a MIDI merge option build in ... so you could plug the 2nd controller into the MIDI IN port of the A-PRO and flip the MIDI MERGE switch on the left hand side of the keyboard and merge MIDI coming from the controller with MIDI from A-PRO itself ... all send to Sonar via USB ...
 
picture available at
http://www.roland.com/products/a-800pro/