It looks like legato can be done with the CAL, and that doesn't always work out well. Sonar needs some
definite improvement in the MIDI department, at least when it comes to editing. This has been my ONE complaint about Sonar over the years. It's way behind things like Studio One and Cubase in that regard (both of which I have and love a lot. I just prefer Cubase over everything for MIDI work)
There might be another way to do legato, but it's really hit-or-miss.