I own the M-Audio Oxygen 25. It is Plug and Play for the most part with Sonar (as in I do not need to install anything extra to play softsynths) but the transport buttons need to be mapped manually.
Use the Generic controller thingie in Sonar to do this. It is not a supported control surface but it's not that hard to get it working with Sonar if you know what you are doing. You just need to learn how to map it within Sonar.
The knobs and dials though will obey MIDI learn and ACT if you are just trying to map it to controll project specific parameters. You should also read up on the M-Audio's internal settings. You can change the notes, velocities, channels and whatever else on the O25 itself so if you know the target parameter you want to manipulate you can just set the device to do it (and manipulate how its behavior in the usual ways).
Those crazy controller auto magic mapping schemes are more useful for much larger devices where you are mapping dozens/hundreds of controls. The Oxygen 25 has so few controls on it (and it's not supported anyway) it's not really worth it. Just spend a few hours figuring out how Sonar maps stuff and how the O25 sends stuff and you'll have much better flexibility/results.
Cheers.