I think there is a long history of USB mikes not working with Sonar. Sonar really likes to see a good ASIO driver. I think those mike use the MME driver which is the worst driver of all.
The mike was made for Pod Casting and not for serious audio recordings. For that you are best off with a proper set up with USB audio interface and a proper XLR mike.
Even if you get the USB mike to work, your tracks will not be in sync. ASIO is the only driver mode that syncs your audio correctly.
So your best bet would be to get it to work with asio4all which works like a real asio driver. It might take some looking deeper or ask on the asio4all user forum.