you shouldn't be able to hear the guitar track that you're playing through sonar if you have Input Echo OFF. UNLESS you have direct monitoring on your soundcard, which I believe you likely do.
I'm betting the saffire pro has "direct monitor" and you probably have that on. I have a focusrite scarlett 2i2 which has a switch for direct monitor. if that switch is on, then it mixes the input back into the output directly at the soundcard.
if you use Input Echo, then the input has to go through the soundcard, through the computer, through sonar, then back out to the soundcard again. the delay between what you're playing and when it plays back is called latency. it can be as bad as 1/2 or more depending on your soundcard and its drivers.
but if you're using direct monitoring, then the soundcard mixes your input with the output directly for you to hear it real time instead of delayed through the computer.
NOT ALL soundcards have the direct monitor option, tho, so that's why the option for INPUT ECHO is available.