BobF has pointed to the right direction, but more precisely you should try to find:
http://www.cakewalk.com/Documentation?product=SONAR&language=3&help=Inspectors.3.html#1220713Figure 256, section "C". Here you can see "C None" combo and that is exactly what you are looking for.
When not set (default), MIDI events are sent to the output "as is", including the channel (that is always a part of event). There are several method to change it, but you are absolutely right that the simplest way is just instruct Sonar output everything with specified for the track channel.
PS Sorry, was too long searching for the documentation/pictures/videos which are Home studio specific (and not found any...)