mudgel
 So it couldn't have been with a version of Sonar that does not yet exist.

Sure it could. 
This page https://www.cakewalk.com/Products/SONAR/Rolling-Updates#Coming-In-2016
says that a "Coming in Spring 2016" feature is
 
"Melodyne Essential 4 IN DEVELOPMENT The world’s most advanced pitch correction software has raised the bar yet again, with a new interface and tools to make Melodyne more powerful than ever. As always, it will integrate smoothly with SONAR Professional and Platinum via seamless ARA technology for the maximum workflow efficiency."
 
It isn't spring yet.  It is possible that Cakewalk has done all the development and already released that support, with the only thing for the spring being a marketing bundle of the Melodyne product.  But they might still be working on some of that integration.  That's why I asked the question, so I would not have to assume anything.
 
I did install Melodyne 4 Studio and it seems to work fine with Lexington.

I went into Melodyne Essential 2 standalone yesterday, went to the about page to check the version and I was sent to the Melodyne site and was told I was eligible to upgrade Essential from 2 to 4.  I pressed the upgrade button, and it updated my license and gave a link to download the new version.  I downloaded it and installed it and it seems to work in Lexington.  I had already renewed my Platinum membership prior to doing this, not sure if that matters or not.