Aside from the WMA import issue, you can have SONAR do all those things. (As far as the WMA issue goes, you'll have to let us know which error you're getting.)
You can adjust the volume of a clip on an audio track by creating a volume envelope for the track. Just right-click on the track and choose Envelopes/Create Track Envelope and choose Volume. You'll have to set points to where your volume changes, but it's very easy to do. There are other ways to automate volume changes too; check your SONAR Help file. Of course, you can also use compression to "smooth out" the peaks and valleys in the recording.
You can monitor your vocals while listening to the music, but there might be some lag. I've found the best way to do it is to use a mixer, and "split" the audio before it gets into the computer, but in SONAR you can enable the "Input Echo" on the track. Depending upon your sound card and computer, you might hear a noticeable lag, so you'll have to adjust your latency settings (under Options/Audio).
There's always going to be lag if you're working with a digital audio workstation. The key is to minimize it. There are a lot of helpful posts here about how to deal with it, but if you experiment in SONAR by setting your latency as low as possible (before you start getting pops and dropouts) while recording, you can increase it during mixdown and you won't notice them as much.
For the least amount of latency/lag, I've found ASIO drivers to work best, but your mileage may vary. I have found that "ASIO for All" isn't the same, and does cause lag when you start playback. If you're using that, you might want to switch back to ASIO or try one of the other drivers.
Steve