Sorry if this is a trivial answer. Take notice that when you insert an instrument in an instance of Kontakt, it usually gets loaded to receive midi through channel 1. If you then decide to change it, and add the new one before deleting the first, the second gets automatically loaded by Kontakt to receive midi in channel 2. If your Cakewalk track was set up to send to channel 1, you will not hear your instrument until you change the channel in the header of the new instrument to 1, or set the Cakewalk track to channel 2.

Nothing is trivial when it comes to midi. :) Thank you.

I want to mention several "self explaining" features of Sonar, which it easy to overseen:
1) "MIDI omni" and "None" are equivalent
2) default Echo is "auto", means it is automatically switch on when the track is selected and off when deselected. Controlled by Preferences / MIDI /Playback and recording, "Always echo current MIDI track". Note then when the option is on, disabling/enabling on the track level is reset once you select different track.
3) in the Windows tray, there is MIDI icon which indicate in/out signals. Useful to check the hardware sending something.
4) if you get no sound and do not know at which part something wrong, simply try to record MIDI on the track.

I always choose my Keyboard controller as the input, I never use all inputs, and Omni. This always works
If it doesn't I will find that PRV is open and focus is still on a different track. It should automatically swap to the new track but this doesn't always happen for me.
 

Did you turn on Input Echo on the midi track?

Its on by default.