The Channel setting on a MIDI track in SONAR is a forced
output channel. Incoming data will be recorded with the channel information of the source. If you check the Event List view of the recorded track, I think you will find that all the parts are on separate channels, but they're being forced to play back on whatever output Channel you have set.
By default, the
Input setting on a MIDI track will be Omni, so it records all channels. In order to separate the channels on recording, you will want to create a separate track for each part, and set each track's
Input to only record the corresponding channel. And it's not necessary to set a forced output Channel unless you're using a multitimbral soft synth that is set up to have parts on different channels than in the original tracks.
EDIT: All that said, I'm thinking the Triton is new enough that it can probably save a standard MIDI Type 1 file to a USB drive, and you can just open that file in SONAR, rather than recording in real time.