The problem could be that you've got more than one audio interface to deal with here.
I'm not familiar with the effect in question, but looking at TC-Helicon's website the USB out streams audio, yes?
If so then (assuming you're using ASIO drivers), as far as I know you can only use one audio interface in Sonar (I think that's because of the nature of ASIO itself - if I'm wrong someone will be along to correct me no doubt :-) ) . To be on the safe side, you have activated the TC as an audio device in perferences? If not and activating it does the trick, then ignore the above.
I've no experience with using multiple audio devices at the same time (never had a need to) but I
think using WDM drivers may get you round this (at the cost of some latency and time offset discrepancies between the two devices that may mean doing a bit of editting of the audio afterwards). Worth a try anyway perhaps.
Can you hook up your soundcards ins/outs and use the audio inputs/outputs on the fx unit that way? Simplest option. Or disable the sound card in Sonar, enable the TC, use it for the job in hand then revert tou your usual interface?