Ok this is a pretty old thread now but since I finally got around to making the promised video of the problem, and some people didn't understand the problem or didn't believe it, here is the video:
http://youtu.be/M5av9ppI4vw It was confirmed that the new SONAR still has this same problem
in this thread. I must say I'm baffled why such basic functionality is still broken in SONAR year after year. SONAR has its roots in "Cakewalk", which was a MIDI sequencer that didn't even have any audio capability at the time, so one would think its MIDI implementation would be rock solid at this point.
I guess the next course of action would be to wait until I can get SONAR Platinum and make a new video showing the issue, and use that to file a new problem report.