The reason for two separate settings is one relates to the interface driver, and deals with the world outside SONAR. The file preferences deal with the world inside SONAR.
I think there are two conflicting philosophies about how preferences should be grouped. One groups according to category, one according to function. For example in this case the categories would be "Interface Properties" and "File Properties." The function would be "Bit Depth." I don't think one is necessarily right or wrong because both have flaws. If grouped as Bit Depth, then you might get frustrated looking under audio interface drivers and expecting to see bit depth in there somewhere. If grouped as categories, you run into the problem described here where related functions end up in different places.
This isn't to say preferences could use some kind of overhaul, but how to overhaul in a way that makes sense to most users is difficult. For example, I'd like to have two main sections - set and forget stuff, and stuff that I change often. But of course, what I change often might not be what someone else changes often.
Customizable preference menus would be pretty cool, but that opens up another can of worms for support and dealing with questions like the one asked by the OP...first we'd have to identify how he had his preferences set up, so we could tell him where to look.