A few things:
1. You need to have the audio outputs of the Motif connected to your soundcard's audio input. The USB cables only carry MIDI.
2. Then you need to have an audio track in the project with Input set to the soundcard input that's connected to the Motif and Output set to the soundcard's output that's connected to your speakers/monitors. Then you need to enable Input Echo on the track so that the incoming audio is passed through SONAR to your soundcard and on to the speakers.
3. In order to hear the Motif while playing live and recording, you will need to have Input Echo enabled on the MIDI track as well (SONAR does this by default based on the Always Echo current MIDI Track setting in Preferences when the MIDI track has focus), and turn off Local Control on the Motif so that the keyboard only responds to MIDI played or echoed back to it from SONAR.
4. I think what you're hearing on playback of existing MIDI is the output of your soundcard's GS Wavetable synth going directly to the speakers. The keyboard is not involved in that routing. You should probably uncheck the wavetable synth as an output as it will have high latency so it won't play in sync with other instruments, and its sounds will be inferior to both your Motif, and most of SONAR's bundled soft synths.
EDIT: Also, following up on jcwalsh's comments, since the Motif apparently offers multiple virtual MIDI In/Out ports via the one USB connection, you'll need to make sure that the Motif's keyboard is sending on MIDI Out 2 and that its onboard synth is receiving on the MIDI In port 2 that you currently have enabled. My guess would be that it defaults to using the port 1 in both cases, so you might just want to change your selections in MIDI Devices.