Not sure I can sort all this out, but here goes:
1. The voice effect thing is what I was talking about. MIDI patches (whether in Sonar or another DAW) can't call up the special panel effects because they require SysEx messages, not just MIDI bank and patch numbers. So it makes sense that the sounds are dry. I'm not saying it SHOULD work that way, but it does.
2. When you say it works from the Tyros USB, that also confirms the comment above. When you create a song on Tyros and save it, it saves all the SysEx messages to the USB.
3. NOW, if you import from the USB into Sonar, it should work because you will have all the special Tyros SyseX messages. If that doesn't work, I have no explanation. I have done that many times.
4. As far as Windows Media Player goes, again, if you imported it from the Tyros USB, you may have imported the Sysex messages, but I don't know enough about Windows Media Player to say.
5. Also, my experience has been that even though Sonar turns off Local Control, if Local is ON when you boot up Sonar, the Tyros can act weird. I know it's a pain, but I highly recommend turning off Sonar and the Tyros, powering the Tyros on and turning off Local, and then bringing up Sonar.
I am sorry for your frustration and hope something in here helps. I love the Tyros line but it was not made well for hooking up to a DAW. At this time, I keep the Tyros connected and on in Local Off because I don't play it real time that often any more. And although the panel sounds and effects are great, I feel like I get enough value just out of the Bank/Patch sounds to justify it.
Interesting note for you: the second song on my current album (Bambicide) was originally created on a Tyros 2 using one of the patterns. I brought it into Sonar and did a lot of changes, including replacing the Tyros guitars with MusicLab RealGuitar, adding orchestra, etc. But the important thing is that I could not get a feel I liked for the song until I messed around with it on the Tyros 2. Although the final record is better than the original Tyros version, I would gladly play the Tyros version live. It sounds really good. Song and video are here: themightykonrad.com