If I understand you correctly, you are opening a project from a MIDI file as opposed to importing a MIDI file into an existing project. SONAR, Logic, and other programs handle these two scenarios differently.
A variation on this issue came up in a different thread which wondered why the browser could not preview a MIDI file at its "native" tempo. A file saved as a Standard MIDI File (Type 0 or Type 1) contains a header that encodes a variety of information (including "native" tempo information).
If you have a new, blank project, choose Open, then navigate to a MIDI file and select it, the project will load the Standard MIDI File and its header information. This is because it's assumed that if you're treating a Standard MIDI File as a project, then you want to force the new project to have the same characteristics as the SMF header dictates.
It's best to import MIDI data if you want it to conform to the characteristics of the project instead of being treated as a separate project with its own characteristics.