The RME could be indicating a number of things, none of which are problematic.
Firstly, MIDI clock, Active Sense, Start/Stop/Continue/Song Position Pointer messages that are sent when Sonar’s sequencer engine enters play mode don’t get recorded to tracks. They are however important for keeping MIDI-controlled stuff synchronised. I don’t think the RME will indicate any of those, at least I don’t remember seeing mine ever do it. MIDI sync/clock and what Sonar does with it is a per-project preferences setting. All that stuff is somewhere between essential and harmless depending on your MIDI hardware setup.
What might be happening is that MIDI data is being sent to the RME because it’s being sent out of Sonar on all ports. The RME will indicate it’s receiving MIDI, though only the stuff set to the right channel will respond to it. What the LEDs do confirm is that you’re enabled the RME MIDI ports in Sonar’s preferences.
MIDIoX is a really useful - essential if you have MIDI hardware - free application that will show you what’s being sent to what. It’s usually a good idea with any MIDI analysing tool to tell it to not show you Active Sense and clock messages as they can fill the screen pretty quickly. Unless that’s what you are looking for, of course.
With most things MIDI, if it works then it’s often best left alone. The clock and sense related date takes up so little bandwith they’re not worth worrying about even if you have no MIDI hardware.