My issue ended up being a bad USB cable but it sounds like yours is different.
I think your problem might be with buffer settings. I can monitor with echo in Sonar with nearly no latency if my ASIO buffer settings in MixControl are low (I usually track with 2 ms). Sometimes I do have to restart Sonar to get buffer setting changes to kick in though. Also, MixControl has a "routing preset" called "DAW tracking" that works fine for me to get my monitoring from Sonar. The "zero latency tracking" preset also works for me if I want the direct signal monitored without Sonar processing it.
I'm pretty proficient with my 18i20 and Sonar now so I should be able to help you out, but I do encourage you to give their tech support a try befor you decide to return the product if I can't help you resolve this. I have used their tech support for some other issues and have been completely amazed at how awesome they are every time. They get back to me quick and really made it apparent that they stand by their product and are there for their customers. In fact, I've never experienced such great customer service and support from any other company.
Please let me know if this helps at all and keep me posted. I love my Scarlett and have no doubts that you'll love yours as well.