Just a little background...all DAWs record the dry guitar on a track, and you hear the amp sim processing the dry track during playback. This is why you have to enable input echo; it sends the guitar into the computer, where the plug-in thinks it's a dry track, and processes it.
As scook points out, there is some delay when monitoring through the computer. This is caused by sample buffers within the computer, buffers on the USB port (if you're using a USB interface), and A/D/A conversion. Also, plug-ins with "lookahead" (like some limiters) causes a delay for which SONAR must compensate by delaying
all audio.
I assume you are using an external interface which is capable of using an ASIO driver. With a modern computer (and interface with a well-written driver), that should allow a "round-trip" latency of under 10 ms. If you have to use a driver like MME with an internal sound card, the delay will be so long it will take all the fun out of playing.
Please check out
this article in the Cakewalk blog if you want to know more about latency basics.