I have something that somewhat works. Here's what I have right now ...

1. Install LoopMIDI, and run the tool.
2. In the LoopMIDI Config, click the + to add a port. You can name it first if you like, or use the default name.

Sonar Part:

1. In Sonar, go to Preferences, MIDI devices, and select the new port as an output (not input).
2. Add an audio track to get the signal from your external MIDI device into Sonar, as usual per your audio interface.
3. Add a MIDI track for the external MIDI device.
   • Set the track MIDI Input to your keyboard, or whatever is used to send notes info, etc.
   • Set the track MIDI Output to the LoopMIDI port.

Ctrlr Part:

1. Open the stand-alone Ctrlr application.
2. Under the MIDI menu, set the Input Device and Controller Device to the LoopMIDI port.
3. Set the Output Device to your hardware port connected to your external MIDI device (I don't know how this is working to allow both Sonar and Ctrlr to access this port, but here it is).
4. Set the Thru to "Input Device -> Output Device".

This setup gets me MIDI and audio for the external MIDI device via Sonar, and also the ability to control the device with the stand-alone Ctrlr application.
 
There may be ways to improve on this, but this is what I have found for now.