DRanck
+1 on inserting CC11. I always insert a CC11 for Kontakt.

But CC11 acts a secondary volume control working within the range set by CC7 which is what the MIDI track volume fader sends. So the track fader still needs to be disabled (or set to 127) or Kontakt needs to be set to ignore it.
 
There are also some instruments that have a Master volume control in the GUI that goes above 0dB, but 0dB corresponds to CC7=127, so you can't use that extra output level unless you disable the fader.

Hmm, that's not the way I usually do it. CC11 does as you say work within the CC7 setting range. I use CC7 as the overall volume for mixing at the console, but then use C11 for the dynamics of the instrument. Seems to work for me. Maybe I'm not understanding the OPs dilemma.
 
There is one other thing with Kontakt: In options --> Engine, you can set the default volume setting, either -6dB or 0 dB.

Look in Edit/Preferences/Project/Midi and look at Other Options. Make sure that Reset controllers is unchecked! Also check the midi track doesn't have a volume or expression control command.
Lastly, look at the settings in the Kontakt track module for each instrument. There is an option to adjust the way the volume control responds to set the volume for the command. It is usually set at -6 db on install. You can adjust it to 0db or +6db.
I would not turn off the midi respond as you will lose all control of the midi mixing available to you.

Wow, lots of excellent information here.  Thanks, guys!

This should not be happening though right? I wonder if it's related to the problem I have every now and then with some Native Instruments plugins zeroing out all of their settings when I hit play. I seem to remember when I reported my problems ages ago being told that it might have something to do with the plugins being sent MIDI messages when input echo was set to auto.

I just yesterday tested out for both Kontakt 5 factory sound Classic Bass that the turning off the parameter In the Controller Options per my above post did indeed resolve volume issues.
 
The same is true for Battery 3 - I tested that too and the same option there also resolved issues with its master volume in Sonar.
 
I had a separate and different issue with Reaktor's Steam synth and its Pan Flute pitch getting changed after playing the project back in Sonar.  Turned out to be the result of the Zero All Controllers parameter that defaults to Checked in Sonar, and something with the mod wheel (I think).  Anyways, removing the check box for that parameter fixed that issue.
 
Bob Bone
 

I have this too sometimes, I have kontakt set to -6 in the options and the midi channel is on default 101 in sonar but in kontakt, same channel says -11 which should be -6 which is weird because some of the other tracks it is -6, could it be that sonars automation or offset mode is interfering with the volume? Even thou I haven't changed the offset mode or have any automation drawn...

Can someone try this too?

I am going to try these things.  Thx.