I checked the help file for MIDI Sync with Sonar as a slave. Two things in the help file are questionable:
First in step 4 it says "4. Make sure that your MIDI interface is highlighted in the Inputs list, and click OK."
The use of "highlighted" is puzzling. Normally, MIDI devices that are checked are active, and those that are not checked are not active. It is possible to left-click on a MIDI interface and it will highlight, but that is a non-persistent setting. The next time the Preferences dialog is opened, the "highlight" is no longer present.
I'm assuming that this statement should read "Make sure that your MIDI interface is selected in the Inputs list, and click OK."
Second in step 5 it says "Click the Transmit MIDI Sync button

in the Sync module to use the MIDI Sync clock source."
The help for the Transmit MIDI Sync button on the Sync Module says "Transmit MIDI Sync to external MIDI devices, such as drum machines, stand-alone MIDI hardware sequencers, and sequencers built into MIDI keyboards (only available when using the Internal or Audio clock)." If Sonar is the slave, the external device is providing the MIDI sync to Sonar, so Sonar will not be sending it to an external device.
If step 5 is correct, it is highly non-intuitive, and this section needs a lot of additional explanation.
I am assuming that the correct setting in the Sync Module is to set the Sync Type control to "MIDI Sync" and the state of "Transmit MIDI Sync" doesn't matter.
I tried clicking it anyway, but the basic problem of Sonar not following the MIDI Sync for tempo still exists.