It is a per-project setting. To view per-project settings in preferences a project must be open. Zero controllers is in Preferences > Project > MIDI. Set the value in project templates to establish the default per-project setting in new projects.

Preferences > Project > MIDI

OK, did all of the above, and still- stuck notes when I hit Spacebar to stop....
I'm next going to try disconnecting the Tascam audio/MIDI interface, and enable the ASUS Xonar U7 surround interface, see what that does, if anything....
Will keep you posted, and thanks again for the assistance!

OK, disconnected the Tascam, Enabled the Xonar, played all 4 MIDI-to-VSTi tracks, hit play - everything's fine, hit spacebar to stop - stuck notes yet again!!
What (the hell) gives????
 

Have you tried downloading the demo? The results would provide a useful data point.

Yeah, at this point, I'll give the new Demo a shot, what have I to lose - I'm ready to forget about X3....
Will let you know how it goes....

The reason I'm asking you to try the demo because the results could give useful clues on how to fix your issues with X3. I'm not saying you need to give up X3. The inability of people to reproduce this issue implies something system-specific but if it happens with Platinum, which has a different MIDI engine, then we'll know not to look at SONAR but at other elements. OTOH if Platinum (or Artist, or whatever) solves the issue, then we need to look at what about X3, or X3 i conjunction with your hardware, is misset or unfriendly to MIDI.
 
Software is like a combination lock where all the elements have to be in place for the "lock" to open. Often a Preference is one of the "tumblers" but gear designed for older protocols with drivers written for older operating systems can be a problem. Many posts in this forum have not been super-complementary to M-Audio drivers, although I'm using an Axiom keyboard and it works fine. However, it's a much later design.

+1 on the Tascam us-144's x64 bit drivers being TERRIBLE

OK - So:
With the Tascam disconnected and Oxygen controller turned off, I installed Sonar Platinum, let it migrate my settings from X3, let it (successfully) scan all my VSTs, and I loaded the test song I am using.
Hit Play, everything's fine, hit spacebar to Stop - and - wait for it - still get the stuck notes!!!!!
Just for clarification's sake, I have loaded this MIDI track into Cubase 5, FruityLoops Studio 12, and Logic Pro, and I do NOT get the stuck notes issue at all.
I'm ready to say - Exit Sonar, Enter Logic Pro. I wanted a Cakewalk product to work with my brother, but, I can figure out a way (with various export options) we can meet in the middle and work together (without Sonar on my PC.)
Thanks for all the help, guys.

Well...one thing I see that might have caused the stuck notes to come over is you let Platinum migrate your settings...maybe you should un-install it and re-install it and DON'T let it import any settings.
Let it use brand new settings, etc....
sometimes, by copying over old data, that can cause troubleshooting headaches:)...