Earwax
Luckily, because I use SCOPE, there is no DA/AD conversion involved. It's Softsynth-to-SCOPE DSP via ADAT (where I can add effects, "mash" things up, etc.) - back to Sonar via ADAT. Not necessarily ideal. It works, but direct real time recording of VST/VSTi output would be a superb option!
I've just realized that Sonar will not record anything from within. The only things that it records have to come from outside Sonar, be it MIDI from a midi instrument/controller or audio through an interface. Just like you can't record a softsynth's audio output, you can't record an audio track's output either, or a buss's output. So you can't record audio that has gone through an effect (print fx as brundlefly pointed out). It may not be such a simple matter to change Sonar if it's only it's front end that has the capability to record.
Earwax, could using something like this
VB-audio Virtual Cable (possibly several) not give you what you want without any hardware needing to be involved ? It may not 'look' elegant since audio goes out of Sonar and comes back in, but if you can set things up to your liking (and if latency is not a problem, which it might be) wouldn't that suffice ?