Try this:
- Set up a loopback of a MIDI OUT on the Scarlett to MIDI IN via MIDI DIN cable.
- Create a new project from the default Normal template with two MIDI tracks - one sending to the MIDI OUT, and the other receiving the MIDI IN.
- Disable Always Echo Current MIDI Track, and set the sending track's Input to None.
- Disable Zero Controllers when Play Stops.
- Disable Stop at Project End in Track View Options.
- Use MIDI-OX on the receiving port or something like TenCrazy's PortDiag MFX on the receiving track (with Input Echo enabled) to monitor returning messages.
- Start and stop playback and/or arm the receiving track and start/stop recording.
You should see nothing. Assuming that's the case, start inserting other hardware in the chain, and re-test.
BTW, what version of SONAR are we talking about?
EDIT: Missed the previous posts. Always Echo Current MIDI track can cause issues, but OP had said no Input Echo was enabled, and the routing diagram showed no MIDI IN connections to the Main DAW, so it shouldn't have been a problem either way.