It is very annoying to have to scroll to beginning of long notes, chords in MIDI to hear them.
Please add ability to listen to notes without having have to start from the beginning of the note.

This is usually called 'Chase MIDI note'. It is sort of a fake note on event, and definitely an important feature to have.

I would like to point out that Live Synth Record feature (implemented in SPlat Jamaica Plain update I believe) can offer a viable workaround without the Midi Note Chase option being available.
 
In just about as many clicks as it would take to toggle Midi Note Chase on or off in some dialog or in the PRV window as a button or drop down selection, you can simply arm-record any synth track while you're performing.  After you've performed (you can record the midi and the audio simultaneously), I just go right-click on the Synth module in the Rack browser, and disable it until I need to come back and modulate or edit the midi performance.  At this point I can either delete the clip of the synth recording if I don't want it anymore, or maybe move it to an empty audio track and keep it for layering purposes. (Especially handy with drone work).  Right-click and re-enable the synth to make it "live" again.

I have been using this feature for quick string part iteration, and in fact find this method works great especially when working with Kontakt 5 whether as a multi-out or single stereo out:
EX:

• I prefer writing divisi lines for each string group with LA Scoring Strings 2.  I prefer to use custom multi's I've saved out which have midi tracks for every articulation of a given string group (Violins 1A etc..), and make a separate instance of Kontakt 5 for each instrument group/divisi group. 
• I don't use the ARC tool, and instead make up to 16 midi tracks each feeding a midi channel.  Every articulation is in the same descending order (ie: Legato, Sordino, Staccato, Spicccato, etc..) across every instance and assigned to their respective midi channel.
• I've even saved out Track Templates with and without bus/group routing for even quicker recall of these setups or entire library if I want.

Once I've recalled one of these templates, I'll develop one divisi line.  After I've got a decent passage at least a few measures, I'll record it if I start hearing something else I want another instrument group to do "vertically" around it.  I then quickly arm the synth's audio track, and record the passage.

At that point I'll disable it so it doesn't play OVER the recorded audio clip (doubling volume), and enable the next instance I want to work with.  I may have 16-20 instances of Kontakt 5 loaded this way, but I have my templates set up so that they get imported as "disabled" by default, and then I can just right-click on any synth and re-enable for quicker loading and without killing my RAM (can quickly bog down a session or require higher ASIO sample buffer latency), thus killing the vibe and losing real-time playability.

Midi-Note-Chase implementation would be great but i'm so used to this workflow, I would probably forget about it or use it sparingly in a hybrid use of the scenario mentioned above.  Still a great feature to have the option of using!  +1

This feature would be extremely useful for orchestral composition where you will have key switched articulations.
 
Playing back without note chase means I have to ensure that key switches are written every couple of bars or so in order to trigger the correct artic.
 
In a complex piece, this can mean many hundreds of additional notes have to be written, simply to ensure that what I've written is played back correctly.

i also have this problem. +1!

I produce ambient compositions using midi where there are a number of very long sustained notes. Currently, Sonar only plays a midi note when playback starts before the beginning of the event. When I make a change in a particular section and want hear how it sounds I have to start playback sometimes quite far back to make sure I hear all of the notes. If Sonar had a "chase" feature for midi events where it looked at the notes under the cursor, obtained the midi information, then started playback of all the notes from the cursor position (whether or not it was before the events' beginning) it would make the process of editing and monitoring the result much more efficient. Cubase has this feature and for what I do the workflow is much better in this respect than with Sonar.

merged