I'm not familiar with the specific keyboard, however some instruments may have multiple midi devices. I had a similar issue with both my Korg radias and maudio venom. These instruments have a pair of devices for input and output, one in/out pair is for the hardware controls (sliders, knobs, etc) and another pair for the keybed and sound generator. I have, many times, selected the output device that was for the hardware controls instead of the sound generator and had to scratch my head for a few minutes each time. For example, the Radias has a "Synth out" and a "Sound Out" listed as two different output midi devices. The "Radias Sound Out" feeds the sound generator, while the other modifies the knob values from remote.

Double check to make sure you have the correct midi devices selected. :)
 
Have you tried this?
 
http://faq.yamaha.com/us/en/article/musical-instruments/keyboards/digitalpianos/p_series/p-105/10324/4181/?current_page_id=1&sort=best&type=
 

Windows will sometimes configure multiple MIDI ports if the same interface is attached to differing USB sockets. When the device is disconnected or turned off Windows might that port as a "hardware not currently attached" ghost. This is a problem particularly if you have a version of Windows that only allows 10 or so MIDI ports to be present on the system. I think (but I'm not certain) that Windows 8 onwards don't have that problem. I have more than ten ports running on Windows 8.1.

Windows will sometimes do the same thing for all kinds of USB hardware, which is why it sometimes runs its "device found, installing driver" routine when you plug in hardware that's already been used on that system.

If you go to Control panel/device manager and select "show hidden devices" in the view menu it will show you the devices Windows has kept as ghosts.

As for Sonar dropping the MIDI hardware when it's switched off or disconnected, that makes perfect sense. Sonar has noticed that a device it was in contact with can no longer be reached so warns you about it. When it sees the device again it asks whether you want Sonar to connect to it or not. Bear in mind that, for example, Sonar doesn't know the difference between MIDI hardware and MIDI software such as MIDIoX that also open MIDI ports in Windows. Sonar just sees MIDI ports presented to it by Windows. There may be perfectly good reasons why you need to run MIDIoX (or other MIDI devices) but not want Sonar to grab those MIDI ports.

Everyone, I have the same exact issue as jkoseattle. 
 
My MIDI quits working randomly during stops and starts ( of playback).  I use the Cakewalks a-800Pro keyboards in Sonar Platinum with the same results where I have to close the project and re-load it to get my MIDI keyboard working again. 
 
BTW I had the same problem in X3 using the same keyboard.
 
I'm going to try jkoseattles solutions and see if it works. I love this forum.

Always turn your hardware on before you run Sonar. I give it a little time before I start Sonar. (Windows 8.1 64 bit tends to load all the drivers quickly.) This is so all the hardware is up and running and the drivers are loaded in Windows. I use enough hardware that I have placed them all on one main switch. I use hardware MIDI ports in my case its the CW UM 3G two of them connected together. All MIDI gear is connected to them. In Sonar you can set which one is at the top of the list and will be selected first as the default.
 
I have found in the past that using different USB MIDI drivers from different gear can cause all sorts of problems. The all need to load in the proper order and if one is a little troublesome it will screw up all of them.   

Do you see your midi drivers present in Windows Device Manager prior to launching Sonar?
 
Also, is it possible you are losing midi devices due to the default Windows setting in Power Management options (under Advanced) for USB Selective Suspend?
 
Or, maybe from Sleep/Hibernate?
 
Bob Bone