Ok,  I switched from using my Line 6 HD 500X USB port as a interface TO:  a Shure SM57-X2U (USB).  I recorded a track. Listened to the playback and omg it sounds Great compared what it did with my POD 500X. BUT, when I go to File > Export > Audio > it gives me a warning that says "the specified audio selection contains no audio data"  So, it won't let me Export the File.  Any Suggestions? I did take a snippet of screen to show all of my O/I settings on the busses but, I can't seem to upload that in the comment...

well, I figured it out BUT, I can't delete this post............  :/

That message usually means you're trying to export only the MIDI track, not the audio track of the soft synth.
They both need to be selected in order to export audio.
But in this case I assume it's a plain audio track in question, as the Shure SM57-X2U, as far as I understand,
only records audio. So, if your export source is, say, Master, and the audio track is routed to master bus, OR the track is selected and export source is Track, I can't understand how that message can occur.
The sound quality of the X2U-unit shouldn't per se be audibly any better than that of the POD, but maybe the SM57
is a better mic than your previous one.
There are, IMO, no tricks nor traps included in exporting, it should be very simple and straightforward, so I can't imagine what's wrong.

Thanks!    Ya with the POD HD500X as the interface, there is No Mic...  just the USB on the HD500X straight to the computer...  Now, I just mic my Cab with a Shure SM57-X2U and run that straight into my computers USB Port.  It sounds Way Better than just using the HD500X USB Port.  It's really Clean with the X2U

My guess is the POD was more or less a real audio interface and hopefully used ASIO drivers. And showed both in and outs and was your timing master. The Shure would only be an input device. Sonar would also have to switch driver modes to use the Shure as I doubt it uses ASIO drivers. Sonar can't use 2 ASIO devices at the same time. So when you use the the Shure to record you would loose the Pod as the output device and your Master output was redirected. 
I see little point in USB versions of microphones. You just bought a SM 57 that can't be used with a standard audio system ??  In the end you will still find yourself buying a proper audio interface that cames with good pre amps and the mike will be useless. I would concider exchanging it for a XLR model and thinking about a interface with a good pre amp instead. 
I see there is a MIKE input on the back of the LIne 6 so a real mike might sound fine using that! 
Guitar always sounds better if a real amp and speaker are in the chain ( to me anyhow) 

umm... No...  I already figured out the problem. Anyway,   I used ASIO for my pod.  I had the timing master set like that. the Shure Can be used as an output for/with headphones BUT, I want to use my Stereo system for playback. The Shure SM57-X2U is set on MME (32-Bit). I ONLY use my pod hd500X for my amp for effects on a FX Loop with my amp. The POD HD 500X is Not being used as a device at all since I bought The Shure SM57.   I use The Shure SM57 to mic my Cab with 4- 12" V30's.  It's Not a USB Version Mic.  It's a Shure X2U "XLR to USB" adaptor.  The Shure SM57 mic is a separate piece.  So, it's not useless.  The Shure SM57-X2U Works Great for what I am using it for.  All in All I don't need to but, if I did, I'd go buy a Interface HaHa, I do have the $$$ for sure.  This is just what I wanted to try :) I only record my Guitar for fun and that's about it So, I just need a Simple Set-up :)  I tried to Delete My Original Post because I solved the problem by myself BUT, I couldn't figure out How to Delete the Post.  Cactus Music:  "Guitar always sounds better if a real amp and speaker are in the chain ( to me anyhow)"  I do have a Real Amp and Speakers...  I mic My Cabinet with a Shure SM57....  Thanks for your Help & Suggestions!  :)

Ahh ha, well that's good news about the mike. I guess the dodad is sort of an interface. And as long as Sonar is happy switching modes, some poeple have problems with that. 
I too use a SM 57 to record my amp, seems to be a standard with most people. 
But I'm still curious, have you ever tried that mike input on the Line 6? 

No, I didn't hook the SM57 into the Line 6 mic input yet...  I should try it But, the X2U Sounds Great.  I'm happy with it for what I do.   I've only recorded Metal with the X2U.  I still have to record some Clean stuff with the X2U.  Then I'll try the Line 6 mic input if my Clean recording isn't Smooth and Clear with the X2U.  The Metal Tracks that I put down sound Very Good and I haven't really added anything except Boost 11 from sonar.  I'm still experimenting on what I can do with my track after I record it within Sonar Artist...

TEST.  I tried to put my set-up at the bottom LoL................................................

Sweet!! it Worked!  Added my Amp........