Ya, it's a limitation in Sonar. I've been wrestling with this for months now. I could link to a bunch of threads I've posted but am a little burnt after the anxiety of the Canadian election last night. New day up in here... hopefully a good one.
Anyway, your best options that I can provide in a brief comment is to
a) Use an external controller linked to all your grouped controls and enable Write Automation on all the desired paramaters in the appropriate tracks (drawback... you probably don't want to do this real time otherwise you would not have discovered this limitation)
b) Create an envelope on one of the desired paramaters and copy the automation envelope to all the other desired parameters (drawback... you can't monitor the entire effect of all parameters simultaneously in real time and the copy/paste crap is a time consuming PITA)
There are some third party solutions that have been recommended to me that require a different approach. scook pointed out the the virtual MIDI cable program loopbe (and similar software) can control multiple parameters from a single automation lane which is something I have yet to try but probably is the only solution (but there are other, more responsive paid programs that can do this as well as was pointed out in the same thread that was brought up in).
Sorry I have not bookmarked that thread but maybe I'll dig it up later if you need.
I have been pushing for better automation (linked envelopes, automation "tracks", control groups following envelopes within the control group, etc) but for now it's all work arounds.
You may also want to look into "Snapshot" automation but I did not find it as helpful as I wanted.
I had one more suggestion but it has slipped my mind for the moment.
Cheers.