Myself I would not be having the keyboard controller feeding the Sound module directly. This will confuse things.
 
You run your controller through the computer and back out to the module.
The way you have it set up ( as Mark has pointed out) is there is no midi coming from the Computer to the Roland sound module.
There is no need for a midi output from the Sound module as that will cause the loopback you are experiencing.
 
It's simple
 
Keyboard controller via USB to computer/Omni/ midi tack input echo on/ track output to MIDI out of interface. This goes to the sound modules, audio output of sound modules to audio interface to be recorded as audio.

Cactus Music
There is no need for a midi output from the Sound module as that will cause the loopback you are experiencing.

Just to add, the time a MIDI output from a module/synth back to the DAW is needed is when the synth has controls that send MIDI CCs and you want to record the MIDI generated by controller movements - e.g. filter sweeps, envelope changes etc. - into the DAW as MIDI envelopes so the synth will follow them.

But there is no midi out from the sound module to the PC or to the midi keyboard. The midi out of the Midi keyboard goes to the midi in of the Sound module,that`s it. The mdid keyboard is conected via USB to the PC.

schnibbelkram
But there is no midi out from the sound module to the PC or to the midi keyboard. The midi out of the Midi keyboard goes to the midi in of the Sound module,that`s it. The mdid keyboard is conected via USB to the PC.

According to the M-Audio Venom manual, the Venom USB driver should present the following MIDI output devices to Cakewalk:

• Venom Synth Out—system MIDI plays back using the Venom synthesizer.
• Venom MIDI Out—system MIDI plays back through the Venom MIDI Out port.

 
Selecting the Venom MIDI Out device within Cakewalk should therefore send MIDI data to your Roland U220.
 

I just read this and was totally lost but I think I understand correctly that the OP does not have a MIDI interface or midi ports on a Audio interface so is using the M audio controller for that. Everything goes in and out of Sonar Via the USB cable to the Venom. So Mark has read the manual for the OP and solved the issue, good one. 

Well not really, because i dont use the Venom with the Roland U220, but an Arturia Keylab essential Midi Keyboard, i wrote that in my first post. Most of the time i use my midi keyboard, i rarely plug in the venom. Thank you for the effort anyway, Mark. I do have a Steinberg UR22 Interface (wich has Midi ports), i wrote that in my second post. Im also confused now . How would i play the Roland if the midi in comes from the interface and not from the midi keyboard ? I would have to play the midi into Sonar first  and than let Sonar "playback" the notes into the Roland?
Wouldn`t be a good solution for me :-(

Well you did mention those items in your second post but I just read everything again and it is still not clear how you are hooking this all up. At this point we will assume you have as I described in Post #11.  
 
You still must not have one little item in the midi signal path correct. 
This may be either the input echo, track output settings, midi devices in preferances etc.
 
My Tutorial is in my signature ( as I said in #4,  see sig ) 

schnibbelkram
Well not really, because i dont use the Venom with the Roland U220, but an Arturia Keylab essential Midi Keyboard, i wrote that in my first post. Most of the time i use my midi keyboard, i rarely plug in the venom. Thank you for the effort anyway, Mark. I do have a Steinberg UR22 Interface (wich has Midi ports), i wrote that in my second post. Im also confused now . How would i play the Roland if the midi in comes from the interface and not from the midi keyboard ? I would have to play the midi into Sonar first  and than let Sonar "playback" the notes into the Roland?
Wouldn`t be a good solution for me :-(

Why not? That is actually the correct solution, and the reason why, it seems to me, that you are not having your setup work. Bear in mind that when you play a hardware synth hooked to a sequencer, no matter if it is computer software or a stand alone unit, you play the synth's keyboard into a sequencer track, and the sequencer outputs the midi data back into the synth. Even when it is a synth with its own integrated keyboard that is the best way to set up. That is why all synths have a "local off" parameter that disengages the keyboard from the sound engine so the synth does not get triggered directly by its own keys, in order to avoid double notes.

If you want to be able to use the controller and module without the computer, and it is not convenient for you to change the cabling each time, you can either use a midi interface that can work as a stand alone patchbay, like the MOTU Midiexpress XT, or use a midi merge box that merges the midi out of the controller and the midi out of the computer into the midi in of the sound module. Anyway, I would advise that you stick with using Cakewalk as midi through.

@joseC. : I tried it ,and it works fine !!! Could slap myself now, because the (easy) solution was right in front of me all the time... Thanks to all of you guys for trying to help !