I just submitted this feature request.  I was forced to tag it as Staff-View even though that is not accurate. It seems a new idea must be marked with an existing tab.  Submission:
 
***
Keyswitch Chase
 
Provide the ability to mark a MIDI note as a keyswitch (KSW) so Sonar would chase it like it chases controllers.  This could be implemented in the right-click context menu in Staff View and Piano Roll (Make KSW) and would be a new type in Event View.
Upon playback, Sonar would find the most recent KSW in each track and play it before other events.  Preferences could turn this chase off for efficiency for users who don't need it.
 
This would be game-changing for professional arrangers and orchestrators.
 
An optional feature could be to exclude KSWs when sending Staff View to the printer.
 
Regards, Konrad

To the best of my knowledge, this would be a distinction between Sonar and other DAWs.  While meaning less to many producers, those of us who live and die by sample libraries would love this.

I have been thinking about this as well.  Until this is implemented (f ever) , maybe a work around would be to change the duration of the keyswitch note to match length of the clip. 

Granted, this could make for some really long notes, but at least the MIDI chase will trigger the keyswitch note. 

You could also place the keyswitch note on its own separate track.

I have not tried this out my self, but I can't see any reason this would not work...

I would also suggest putting keyswitches on a separate track, and making them last right up until the next keyswitch.

Are you guys sure Sonar will recognize a KSW that is held? It doesn't sound MIDI notes that are held; by that I mean, the note on must occur after the starting point to sound.

http://www.cakewalk.com/Documentation?product=SONAR&language=3&help=NewFeatures.13.html
 

Maybe Konrad is still using X1d producer?

I just noticed the op's signature...  He is using Sonar X1d.  That has No MIDI chase. 

Time to upgrade to Platinum I think. X1d is getting on a bit.....

The reason I posted was to help the OP understand the current feature set. Feature requests should be based on the current product.