Yeah, no mirroring going on, simple directory redirection just like setting the paths in preferences except I don't have to remember to set preferences. FWIW, I usually do set the preferences but forgot in Platinum and everything still worked because the directory junction was in place. Either way, let the New Project dialog set the path to the project and the audio on the second drive. Don't get fancy, the default per-project audio folder setup works fine.
SONAR will not run without a Global Audio folder. If SONAR cannot resolve the path to the Global Audio folder, it will create a new one at the location specified in preferences, failing that the program will create "C:\Cakewalk Projects\Audio" and reset the preference, failing that the program will abort with an error. I believe the Global Audio folder is still used as a temp directory. This is why the Global folder should be on the same drive as the per-project audio folders, so the temp files can be moved without having to copy data. Using per-project audio folders, all the audio is read from the per-project audio folder.