Not sure if this is a known issue (I'm a newcomer to Sonar) - or indeed specific to my installation however just in case it helps somebody else in the future.
I can only get the GrooveSynth DXi to sound if the Sonar transport has been started at least once before using it.
1) Start Sonar with a new blank project.
2) Insert GrooveSynth (either as an instrument or with midi/audio tracks) using the synth rack.
3) Play keyboard (midi is received) - no sound from synth.
4) Start transport briefly.
5) Play keyboard - sounds.
This is consistently reproducible on my set-up.
EDIT: Seems to be the same for the TTS-1 as well and only when they are inserted using the + button in the synth rack. Using the main menu command Insert|Soft Synth works as expected. So very minor.