Sonar does leave the Audio engine and any active plug-ins running after playback stops. One of the worst is the Waves Eddie Kramer Bass Channel. It sounds amazing for many bass tracks, but when idle, or during silent sections of a song, it's truly noisy. I find I typically have to automate after it.
This could be related to the problems I always have when trying to use the
echo button on a vocal track. Before playback, the echo/listen-back has very low-latency. After playback stops, there's a significant latency through the echo until I restart the audio engine.