So much for an easy solution.
PJH
I came across an old thread where it was mentioned to include the "shared plug ins" folder in the scan list.
Bad advice. SONAR only installs DirectX plug-ins in the "Shared Plug-ins" folder. Remove the path from the VST scan path (unless you have knowingly added VST plug-ins into the folder, in which case they should be removed).
Was the installer run as administrator?
Is SONAR running as administrator?
Is the plug-in shown in "DirectX Audio Effects" in the Cakewalk Plug-in Manager?
Are you using custom plug-in layouts?
Maybe the plug-in did not get registered during install. You could try to register the plug-in manually. Run the cmd.exe as administrator and execute
regsvr32 "C:\Program Files\Cakewalk\Shared Plug-ins\Pantheon.dll"