Hey Bob.
The cursor not moving was a bug that popped up a while ago. IIRC, I an enabled playlist, it will move on the first song you play, but not consecutive ones. The issue seems to be the preloading of the next song takes window focus and the cursor never recovers, but if you click on the window of the song playing the cursor returns. Obviously no solution whilst you are on stage! People also reported already played songs not closing in the background at the same time, though I never encountered that. It was reported as a problem several times but unfortunately didn't gain enough traction to get the bakers attention.
J Codys's idea sounds interesting. I always saved projects for performance in a small non full screen window next to the playlist, and the cursor certainly doesnt work in that state, so maybe try his full screen idea.
As Matron mentioned, I have moved on to something called Midi Automator (which is free), combined with Bome Midi Translator (which is relatively inexpensive). I am using it with Studio One, but it works with Sonar or any other DAW and gives you much more control. As with all things worthwhile, there is a bit of a learning curve, but brilliant once set up. It also solves the problem of occasional glitching in playback that can happen whilst Sonar is loading the next project, particularly with large track counts.
As an aside, looking forward I would also mention that song loading in Studio One is blindingly fast and playback is rock solid, both huge advantages for live performance. Probably worth a look at whatever stage you need to find an alternative.