Are you turning on/plugging in the controller with Sonar open? If so, close Sonar, turn off/unplug the controller, turn the controller back on/plug it back in, wait a little bit (like 30 seconds or so, open Sonar then check your Preferences > MIDI Devices menu again to see if it shows up in the available devices list.
If I try to turn on some of my devices while Sonar is open they sometimes don't get seen by Sonar. Because of that I always turn on my devices BEFORE opening Sonar (and I wait a little bit before opening Sonar because if I open it too quickly after turning on the devices they may not get recognized).
That may not be the issue but it's worth trying.