I might be wrong , but I think this is already possible.
Go to Preferences (p)
Goto MIDI | Instruments and click "define"
On the right hand pane, under "Controllers", there should be an entry called "Standard". If there is not one there, create it. If there is one there, click on the plus to see the names.
If entry called "Standard" was there, you can edit the names directly and the changes should reflect in Sonar without having to restart Sonar.
If you had to create the "Standard" entry, you can add the controller names there. Don't forget to add the controller number when adding a name - this makes it easier to know which controller number is there. you might have to restart Sonar so that it can reread the entries.
This is what I have done and which I add controller information in the event list or PRV, the names actually list rather than just numbers
Now, make a backup of your Master.ins file located here (in case you bugger this up and need to revert):
%USERPROFILE%\AppData\Roaming\Cakewalk\SONAR Platinum
Note: if you have a hardware synth attached to a MIDI port, then the (properly configured) instrument definition file for that synth will override the above information.