The fact that you hear sonar through your yamaha is normal. The MOXF (it is NOT a motif XF, that is a different machine) has a USB Audio card incorporated in the machine. Which means that the MOXF can act as a sound card.
When you hear the software synth, it must be instantiated. You say in one of your posts, "I can select the Microsoft GS Wavetable or the Cakewalk TTS". These are software synths, which you should NOT use to use the on-board sounds of the MOXF. One of the things I read in the MOXF manual (I don't own an MOXF, but a MOTIF XF), is that you need to enable the USB MIDI (Press Utility - F6 MIDI - SF4 OTHER - set parameter MIDI IN/OUT to USB)
Also, In the dutch quick guide manual (which I believe would be more or less the same in English) on P 54, it explains some other settings that need to be done on the MOXF.
I also think that MOXF Port 2 is actually the port that is used when using the MOXF as a remote control (Mackie control) for Sonar. According to the manual Port 1 is the one that is used for MIDI playback. (I believe a page or 2 later) I would try enabling that...
On the MOTIF XF, there are also a couple of ports, and the same applies there.
One thing that I found that works quite well is the VST Editor for the Motif. THere is one for the MOXF as well, and the advantage is that when you select a patch, it keeps it with your sonar project. The downside is that the VST did not work well in Sonar X3, as the VST3 specs were - to put it mildly - not documented by Steinberg. It only worked well in Cubase... But don't say that to Yamaha, as they responded quite harsh when I suggested that at one time. I haven't tried the VST Editor in Platinum yet though.
FYI... The reason I think you have an MOXF and not a Motif XF, is because in your screenshot, it says MOXF. My USB drivers says Motif XF.