First, you need to lie and tell GameDVR that Sonar is a game :-).
Second, if you are using ASIO, it will not record the audio without help. I use Voicemeeter to route the audio in a way that works with the GameDVR. The link Beepster provided has info on setting up Voicemeeter. BTW, when you do get it working, it works quite well!
Let us know how it goes!