Okay, I broke down and looked at the MIDIsport User Guide, and found that the USB/Merge switch should be
In when used as a PC interface;
Out is for standalone use. So you should start by leaving it
In, and getting everything else configured to work with it in that state.
The Kurzweil should not be involved in click generation. Set SONAR to use it's internal Audio metronome, and you'll hear that form the MIDI SPort
And if you set up a MIDI track to echo incoming MIDI back to the Kurzweil as I suggested, you should be able to disable Local Control.
If that doesn't get it, I'll have to look at the Kurzweil manual, too.
Then the question is what are you using for an audio interface, and how are you monitoring the audio output of the Kurzweil?