When I want to torture Sonar by setting up a feedback loop, I send an output to a spare interface output, then physically patch that output back to a spare input. It can get complex routing buses and such, but it works. The biggest problem is the extra latency from going through the I/O another time.
However, you don't really need to set up a feedback loop per se, and Sonar can do what the other DAWs do. There was a review in Mix magazine that did a good job of describing how you'd set up Q-Clone, which is basically what I've described above:
To set up Q-Clone, place Q-Capture on any available mono auxiliary channel or dedicated audio track (depending on your host) and assign its physical output to your EQ's input. In turn, set Q-Capture's input to receive the EQ's output. Once the loop is complete, Q-Capture's mode status changes from Waiting to Receiving, indicating that the setup is correct and ready to use. Put Q-Clone on any live input channel, audio track, bus or aux that you want to process, and it automatically communicates with Q-Capture.