I just fired up Blue Matrix, selected the first preset and hit play in Sonar. Playback commenced and sustained until I hit stop. So not sure what's going on at your end to make playback stop after a few seconds.
Reaktor confuses pretty much everyone until they sit down and learn the basics. The most important thing to remember is that it is so much more than a normal "plug and play" synth, so you will encounter things that will frustrate or baffle you until you know what's going on.
The most common source of confusion is what the different parts of Reaktor are and what they're not. Reaktor is comprised of various building blocks which exist on different hierarchies of function and which you can wire together to make functional instruments or effects. A complete "ready to play" instrument or effect is called an
ensemble. What this means is that various building blocks have been wired together, ready to accept audio or MIDI as inputs (if necessary), and have been wired to audio outputs so you can hear the sound. So just bear in mind that for something to be ready to play in Reaktor, it has to be an ensemble. That ensemble might take the form of a synth, or a sequencer connected to a synth, or an effect unit connected to a drum machine. As long as it's hooked up to the audio outputs and makes a sound, it's an ensemble. Ensembles have the ".ens" extension.
"Instruments" on the other hand are on the next level down on the hierarchy. They're individual building blocks that you can hook up into an ensemble. So an instrument could be a synth, a drum machine, an effect or a sampler. It's different from an ensemble in that it's not hooked up to anything - you have to make those connections yourself. Often it's as simple as just connecting its outputs to Reaktor's audio output, but obviously you can chain things together to build much more complex ensembles.
This confusion with the word "instrument" is what trips up most people. The word suggests something that is immediately playable, and you wouldn't necessarily associate it with something like an effect.
Instruments in Reaktor fall into a number of categories. First you have synths, which obviously take a MIDI input and generate a sound. Then you have effects, which input and output audio and are self explanatory. There are drum machines and sequencers, which make a sound as soon as you hit play in your DAW (or hit play in Reaktor in the standalone version). The sequencers usually have some kind of method of starting and stopping the sound, through either automation or through a gated mode in which a MIDI note is required to play a particular pattern. Or you can trigger the different drums via MIDI. All of the factory ensembles have instructions in the manual which should tell you how to control playback. Then you have things like noise generators, which don't require a MIDI input but generate sound constantly until you tell them to shut up. Again, this is usually easily done through automation (even if you end up automating Sonar's mute button). There are also instruments which generate a MIDI output that you can route to other Reaktor instruments or even to an external VST.
Then of course you have Blocks, which are a whole new level of modular synthesis in Reaktor and are the most amazing thing to happen to it in years.
It's also worth learning about how snapshots work - they're like presets but work a little differently and are highly flexible. For example, imagine you chain together a sequencer, a synth and an effect in Reaktor. Each of those 3 instruments might have their own internal snapshots. But you can also make global snapshots, which record the state of the entire ensemble. So you could select a different snapshot from each instrument and then save that overall configuration as a global snapshot. It's essential to learn about how snapshots work in Reaktor because they can be confusing.
Also, take a look at the browser. You have "Player" and "Files" tabs. The Player tab shows you complete ensembles that are ready to use. The "Files" tab is more in depth and shows you all of the components of Reaktor, from complete ensembles all the way down to the core building blocks like oscillators and math units. If you want to keep things simple then just stick to the "Player" tab.
But in general, rest assured that every new Reaktor owner goes through some initial frustration of loading something which looks like it should immediately make a sound but in fact doesn't. It's totally worth taking a basic course (on Groove3 for instance) and learning how to do things like connect instruments into ensembles. It will clear everything up for you.