Hmm ... this might be more complicated. After doing a slow-bounce on the same material, then trying fast bounce again, the aux track effect was present in the bounced material; however one of the notes was abruptly cut off.
Ok trying to track it down further: tried a "freeze" of the material going to one of the vsti's. Same note abruptly cut off, in freeze, but sounds normal in regular play. Using slow bounce, audible, it sounds normal.
Further edit: reduced everything to two midi tracks, two notes, one VSTi, two outputs. Same problem in freeze and fast bounce: the note on one track is cut off by the end of a note on another track. This does NOT happen, same two notes, same tracks, in slow audible bounce and does not happen in playback.
This is using GPlayer as VST instrument, two outputs. I tried replacing it with Kontakt 5, two outputs, and the freeze worked correctly. (However, I believe there have been problems with Kontakt in the past...) I wonder, now, if the latest Kontakt may be more protective of bad output from Sonar during freeze? Otherwise, why would GPlayer work one way during freeze and a different way during playback?