Some of this is basic, and you probably already know a lot of it, but just in case:
MIDI is performance data that drives a synth; it has no audio content. The synth generates audio with timing and duration based on those instructions, and with timbre of the sound based on the synth's internal programming (MIDI controllers and note velocity can modify this to some extent also based on synth programming).
If the synth is external, you must have an audio track receiving the sound output via an audio interface in order to record it. Also, the preferred method of
monitoring an external synth is to have an audio track with Input Echo enabled to echo it back out to your monitoring system, rather than direct monitoring. This allows you to process the input signal with effects real time inside SONAR, and hear that processed signal while you perform live.
You can record MIDI from a keyboard synth, and play it back, all with the audio from the synth going directly to your monitoring system, but at some point, you'll need to route that audio signal into SONAR and record it in order to eventually generate an duio file that you can play on another system and share with others.
And you'll wnat to set Local Control OFF in your keyboard synth's setting and echo MIDI from it's keyboard through the MIDI track and back to the synth. This applies to separate keyboards and hardware synths as well. This prevents doubled notes in the sound from the external synth and having the synth always generating output even when you are trying to play a soft synth.
As for colors, SONAR comes with a default color file that you can re-import. I've never actually used Defaults: All Colors, and it doesn't appear to be documented in the Ref. Guide, but, yes, I would guess that will re-import the default .CLR file. from AppData.
Hope that helps.