I 've tried rightclicking on the parameter in question (e g cut off freq for a filter). The aftertouch work on my Novation Impulse and other controllers do work with Sonar and Z3TA.

Aftertouch with MIDI Learn is working here.  After right-clicking, make sure that you apply enough pressure to a key on the keyboard controller for z3ta+2 to 'sense' the aftertouch message.   Or, you can apply aftertouch manually.  Right-click on the cutoff frequency knob (for example), Add MIDI Control, and navigate to CC 128. Aftertouch.
 
You can check Options -> Show MIDI Configuration File (or right-click on the control a second time) to make sure that aftertouch was bound to the control.  My Novations here can disable aftertouch in the Template, so there's another possibility to check.

Thank you kindly and Merry Christmas b rock!
I have followed most of the steps (and do apply anormous amount of pressure ) but how do I check aftertouch in the template? Project saved as .cwp-file and not as .cwt? Aftertouch does work with Novation e g with my hardware synth.

but how do I check aftertouch in the template?

  What I meant was the Template settings in the Novation keyboard itself (I use the older Novation ReMotes).  But it sounds like aftertouch is transmitting to your hardware synth.
 
 
In Sonar, check Edit -> Preferences -> MIDI -> Playback and Recording -> Record to see if Channel Aftertouch is checked.  Other than that, I'm not sure what could be blocking your aftertouch messages.  There are other tests that we can get into later (I'm running late for a Christmas Eve dinner).
 
 
We'll get this working for you.  It's something simple.

Thnx again b rock. Yes "key aftertouch" checked allright. I'll try with another synth then Dim Pro and check if that one responds to aftertiuch.

I see now that the dim pro midi track doesn't elicit while pressing hard on a key on Novation. The sounds work allright. In JV1010 (hard ware synth) the lamp for midi signal does blink during the same manouver. Seems like Sonar doesn't respond to that type of midi signal and this couldn't be an issue of its software synths. Pitchbend and Mod wheel work ok.

Got it! "Key aftertouch" checked wasn't enough. Also "channel aftertouch" needed to be checked.

One final(?) question:
The small keyboard Sonar-icon (near the clock of the computer) has two lamps. The left one has its red light on all the time. Shouldn't it just blink while the midi-in signal is there?

It's great that you have this sorted out.  As you've found, 'aftertouch' usually implies channel aftertouch.  Polyphonic / key aftertouch is very powerful, but rarely implemented.  You'll find it on high-end classic hardware synths, and some of the newer pad triggers or KMI MIDI controllers.
 

The left one has its red light on all the time. Shouldn't it just blink while the midi-in signal is there?

Yes.  It's MIDI Input (left) and Output (right) activity.  You could have a MIDI feedback loop (output somehow looping back to input).  Or it could be as simple as a fast MIDI clock input, or an 'active sensing' message.
 
Some hardware keyboards (like Rolands) send a data byte every 300 milliseconds.  It's supposed to prevent stuck notes if a MIDI cable gets disconnected.  It's rarely used, adds some unnecessary overhead, and usually can't be defeated at the keyboard.  There are ways to filter it out, but most people just ignore it.
 
The only problem that I've ever had with active sensing is that it freaks out my FCB-1010 pedalboard.  The fix is to power-on the pedalboard with the MIDI In cable disconnected, then plug the cable back in.

I do have another keyboard connected to Sonar. It's a Yamaha Clavinova which has a more "ivory feel" due to its weighed keys. From that goes a midi out cable, via my Cakewalk VS 100 sound card then a USB cable to computer. Disconnection of midi out cable from the Clavinova turns out that eternal red little light from the icon on the screen.
Seems like one of those loops you mentioned. Doesn't really feel that it harms the system or do you think I should get to the bottom with this?