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Why isn't there a direct monitoring bus in Sonar that lets you hear the sound directly from the interface when a track is armed and switches automatically to playback when the track is playing? I can't believe there isn't something like this in Sonar... I know there is feature in Cubase and Pro-Tools...
As soon as the signal goes inside the box it will be subject to bus (i.e. USB/Firewire/PCIe) transmission latencies, A/D/A conversion and software buffering latencies; there's no avoiding this. The only way you get around it is by direct monitoring where the anlog signal takes an analog path through the interface from input to output with no A/D/A conversion or digital processing.
Cubase and Protools support ASIO Direct Monitoring, which is just a way for the software to automatically switch the interface to direct-monitoring mode
if the interface also supports it. Not all interfaces do, and because ASIO Direct Monitoring is an extremely loosely/poorly defined "standard" (per Cakewalk CTO Noel Borthwick), Cakewalk have chosen not to implement support for it to date.
But that won't solve your problem of wanting to monitor with FX. The only way you get that, other then by having a big, expensive pile of all-analog FX hardware, is by taking the signal into the box, and having hardware that can run plug-in heavy projects with small buffer sizes, and minimal hardware/firmware latencies.
You'll also want to avoid tracking with plugins that use internal lookahead buffers that induce Plugin Delay Compensation, although SONAR allows bypassing PDC on input-monitored tracks with live input.