If you imported the Fantom's Instrument Definition into SONAR, that doesn't mean SONAR will produce the sounds in the computer; it just means you can select the Fantom patches in SONAR to play them through the Fantom.

2nd problem:  It is not showing the RHYTHM (i.e. drum kits) section of my keyboard, only patches such as guitars..does anybody know why and how I can get the X3 to populate my RHYTHM section of my keyboard?
 

 
If the channel selection (10) as suggested by Greg doesn't work you either need to assign the existing instrument file (INS) to channel 10 or you may need to import the Rhythm part of the Fantom's INS file, assuming it has one. If not it's relatively easy, although a little tedious to write one.
 
Spookily enough I've been making a bespoke tutorial video for a client on that very subject this afternoon, although for another piece of Roland kit.

What everyone else says.

Also, the "distorted" sound you get when playing the Fantom could be because the Fantom is sending to a MIDI track in Sonar, which Sonar is sending (echoing) back to the Fantom. If, at the same time, the Fantom's keyboard is also giving MIDI instructions to the Fantom's synth the sunth will get two sets of MIDI telling it what to do.

The Fantom's sound generator will receive a first set of MIDi instructions from the Fantom keyboard followed very quickly afterwards by the MIDI coming from Sonar. So everything gets played twice.

The usual answer is to set a synth to MIDI "local control off" - just about every synth other than pure analogue voltage-controlled ones (which don't use MIDI at all) have this setting available, if the Fantom has it will be in the manual somewhere. This disconnects the keyboard from the synth so when you play the MIDI goes out of the Fantom to Sonar then Sonar sends the MIDI back to the Fantom (using the "input echo" switch on the MIDI track you are recording to). That way notes only get played once.

When you use a hardware synth it is that synth that generates sound not Sonar.
 
I have hardware synths a Roland XV 5080 an SC 8850 and a Boss DR770. All three are connected via MIDI cables to Sonar and audio cables to a mixer. The mixer is also connected to Sonar via USB.
 
First don't import the SMF. Open it. Its a native format to Sonar. If you import you lose tempo information. 
 
What you want is the play the MIDI file back and trigger your Fantom to play the sounds. I suggest you do each track as a solo to and record the audio from the Fantom to a new audio track. Do this for each MIDI track. Solo and record.
 
You will end up with all audio in Sonar. Mute all the MIDI tracks and just work with your recorded audio tracks. Ten MIDI tracks will end up being ten audio tracks using this technique. Yes it is tedious. But its the only way to get a multi track recording.   
 
If you record the output of the Fantom when all the MIDI tracks are playing you will get one stereo track with all the audio in it. No mixing can be done.
 
As far as setting up an instrument definition file for your Fantom see page 1231 in your Sonar X3 manual. 
 
I can help with this but you should already have the needed files from Roland.