I have to be honest, I was a little annoyed that the Bakers didn't go all out to fix this. I was always told that if I couldn't provide a recipe and if they couldn't replicate it on their end, then there was little they could do. But in my mind this problem was serious enough to warrant pulling the stops out - even if it only affects users who work on projects of a certain size or complexity, it's still a catastrophic bug which effectively makes the program useless for certain kinds of projects and that's not a good image for a DAW to have. I couldn't help feeling that the Bakers would know enough about how VST plugins are wired and receive messages from Sonar to be able to figure out a range of possible causes and work backwards from there. From my end, as a layperson who isn't intimately familiar with the code, all I can do is grope around in the dark and that's what I've been doing, without much success.  

abacab
 ....difficult to achieve that exact combination of variables in a testing lab, especially considering that some of the projects have existed, been modified, etc., through several versions of Sonar and/or Windows ...

I can vouch for that. I've gone through at least 5 versions of Sonar and 4 of Windows, and occasionally I open projects where some fx don't load (or no longer exist), VSTs don't load up, presets are lost, even the occasional wav file goes missing or gets corrupted. I see it as part and parcel of the rich tapestry of life (if I may mix my metaphors).
 
As I like to tweak old projects every now and then, I always make an updated backup each time, with a new name and date (and version no) and then archive them by year. Sometimes it means I have multiple copies of the same backup over several years, but at least it means I can always go back to a working version is something is lost or corrupted. I've stopped saving projects as bundle files since I've lost entire projects that way after they refused to open.

For those who are interested, I seem to be having success with the problem of Sonar not saving plugin settings. At least I think I've narrowed down the cause a little bit. I'm now 90% certain it has something to do with Sonar's preset system, in that something has been causing Sonar to select a factory default preset, thus wiping out the saved settings. Previous to this, I'd been using the plugin's own preset saving mechanism to save presets in the manufacturer's own format, in my project folder. Doing this, I'd still open projects to find EQ settings hosed, but at least I was able to reload my settings from these saved presets. A huge pain to have to do this with dozens of tracks every time I loaded the project, but at least it got my settings back. 
 
Now I've switched to using Sonar's native preset mechanism instead, and in the couple of days I've been doing this, so far the projects have been loading with the settings intact. Of course this still isn't ideal because I'm going to end up with a preset menu full of 200 or so presets for each affected plugin by the time I get done with these projects (for the life of me I cannot figure out where these presets are stored). 
 
But anyway, it's definitely starting to look like this missing settings problem is related to Sonar's preset system. 

sharke
(for the life of me I cannot figure out where these presets are stored). 

 
I assume you are clicking on the VST2 options in the title bar of the VST?
 
It should allow you to select a location for saving the preset. Mine are all saved to a VST preset folder which helps with migration to a different platform.
 
fwiw, I've occasionally noted some differences in mixes after reloading them, but not enough to track down the details to confirm if it's psycho-acoustics or software.

jackson white

sharke
(for the life of me I cannot figure out where these presets are stored). 

 
I assume you are clicking on the VST2 options in the title bar of the VST?
 
It should allow you to select a location for saving the preset. Mine are all saved to a VST preset folder which helps with migration to a different platform.
 
fwiw, I've occasionally noted some differences in mixes after reloading them, but not enough to track down the details to confirm if it's psycho-acoustics or software.

I'm putting them in the preset menu in the title bar, because I suspect that this bug involves something along the lines of Sonar reverting to the selected title bar menu preset instead of loading the state of the plugin that was saved with the project. For example, if I load a new instance of Waves Q10 EQ, it shows "Q10 Full Reset" as the preset in the title bar menu. This preset is basically all parameters reset to factory default. As I shape the EQ, the menu bar is of course still showing "Q10 Full Reset."
 
What I believe might have been happening is that Sonar was applying this menu preset to the plugin instead of applying the settings that were saved with the project. And indeed something is occasionally triggering this default preset during the course of working on the project, because I've had occasions where I've set an EQ up and found it reset later in the same session. 
 
Saving my own settings as a preset in the menu seems to have done the trick. If Sonar tries to apply the menu preset again, then it can go ahead because I already have my own preset selected in the menu. Any time I adjust an EQ, I simply click the "save" button in the title bar and it updates the preset - no need to bother with saving files and loading them again. I believe the menu presets are stored in the registry, although I'm not sure of this. Of course I may be totally deluded and open my projects tomorrow and see all of my EQ's flatlined again, but this is the most hopeful solution I've seen and so far it's worked.

Well as if to mock my naive hope, as soon as I posted the above comment I opened a project to find multiple tracks with their EQ settings destroyed again 
 
Sonar - still junk 

I have not went throw corresponding sections of VST specification (yet) so the following in IMHO at the moment. But since I want restore FX presets saved in Sonar project in Reaper, I am slowly digging throw...
 
In Sonar presets are saved inside the registry (sometimes directly, sometimes pointing to file). Cakewalk Plug-in Manager can deal with the whole tree, including exporting/importing sets of presets for one or more plug-ins.
And now interesting part... for some plug-ins (I have no idea yet why for some and not for other), the whole bank of presets is also saved into the project. So in the project there is not just one "black box" for one plug-in instance, but a bank of "black boxes" with "current" pointer, for each plug-in instance. Obviously, the list can be the same or different from what registry currently has.
If I remember correctly, VST itself can work with banks. And so DAW<->VST conversation is no longer "get black box"+"set black box", but get/set/manipulate the lists of them, with names and indexes. When one side has incorrect imagination what other side is doing (and as with several other areas in VST specification, there is some "interpretation freedom" there), that can trigger problems you observe.
 
I guess I will be able to tell more once I manage to import. And we can check what is going on with concrete plug-ins in your concrete projects then...

Very well written azslow3!
 
I like especially this part:

azslow3
... and as with several other areas in VST specification, there is some "interpretation freedom" there), that can trigger problems you observe.
...

This is exactly the thing a lot of software developers and also users do not understand: Each standard interface specification lacks some definitions that the interface creators say are in the blackbox, but essentially it is only a "grey" box and therefore it must be handled properly!

Now I've switched to using Sonar's native preset mechanism instead, and in the couple of days I've been doing this, so far the projects have been loading with the settings intact. Of course this still isn't ideal because I'm going to end up with a preset menu full of 200 or so presets for each affected plugin by the time I get done with these projects (for the life of me I cannot figure out where these presets are stored).

 
Computer\HKEY_CURRENT_USER\Software\Cakewalk Music Software\ActiveMovie\Presets\
 
Bassman.
 

I do seem to recall a few reports of people saying the indexing value was off by one, which makes more sense if SONAR is saving a "bank of presets." I thought that issue applied to a couple cases other than just presets though, like track orders/numbers/selections when doing certain functions.