I have installed Sonar a dozen times over this last couple of months as I was making back up systems for the future. ( thank goodness I didn't really need them!) I open all sorts of projects, old new, templates, midi files transfers from Cubase you name it. And never in my history with Sonar has it created an audio file unless I insert an audio track and record something.
Lately I've been working on over 120 Backing tracks. I decided to remove all audio from these and converted all to midi. So once the audio tracks are deleted or converted to midi I "save as" and point to a new location and "uncheck" the save audio box. This saves a CWP file as an icon. There is no audio or other folders created.
So I'm am baffled by what you are doing. It was mentioned earlier and you have ignored a few very good suggestions. Are you using a midi track or a simple instrument track? DON'T use a simple instrument track, use a midi track and point it at the VST track. In my signature is a detailed tutorial on using midi with Sonar.
There are dozens of ways to set things up and all will work in the end. My system works for me and over 14 years I have never lost track of how things are saved and stored. See below. 68 projects, no audio 25 MB of storage used. Each song has 4 -7 VST instruments. 4 - 12 midi tracks.
Edit- I just tried something. Took one of the files that is just a CWP file, no audio folder.
Opened it, inserted a soft synth but as a " First synth audio"
No audio folder was created.
Now I insert a synth but I choose " Simple Instrument " and boom,, new audio folder now created.. But it is empty of course. So that is half the mystery solved. Possibly this VST you are using causes the audio samples to be added as well, certainly that is odd.