I have not tried the midi transports yet.  I have been battling unrelated crash issues which I finally sorted out. (MIDI related)
Moens, are you using the Firewire or USB drivers?  I'm using the USB for now.  Post your settings...mine for now are in my sig.  The settings window for driver latency has three sliders.  I still don't know what the top one is for...let's compare settings...
I'm using ASIO too...but have tried the WDM as well.  4 choices: Firewire or USB ASIO and Firewire or USB WDM.
As far as the dropping issue goes, I don't think I've had that issue.  It might be an ASIO thing.  Try looping play in sonar as you go off to other apps?  I can loop play, minimize Sonar, and it will keep playing in the background...but perhaps your browser (IE) wants to steal the driver?  I use Firefox...which perhaps doesn't steal.
 
I love the mixer too.  I seem to recall reading something about the midi transports.  Will look into it.
No problem with changing voices on the fly with softsynths here.  But my latency settings are scaled back a bit.
I got dropouts when I tried to go to 1ms...it worked but I got them on occasion.
Are you saying that after the dropout, the audio engine button in the transport window would not turn back on?
 
BTW I bought the fastest USB Flash drive I could find, a Lexor 64 gb, and it still wasn't fast enough to record at 24 bit...but 16 bit no problem. 
 
I know the transport controls can be used for playback of the recordings on the USB stick, when routed to FW 15/16.  Whether they can be used to control Sonar playback is still a question I'm looking up...ok "Additionally, the UFX1604's transport section can even function as remote control for your computer-based DAW via its convenient, onboard MIDI capability."
 So it has to be doable somehow...I know:
 
Make sure UFX Midi 1 is checked in your Midi Devices page in Preferences.  Then make sure it shows up in the Controllers Section...I guess just add it as a new controller since it will now appear as an option there.  Set it up as an ACT controller, not a generic Cakewalk device.  gonna try it now...
 
OK when I press the transport controls it play notes just above C0 instead of transport controls in sonar, so at least we got that far.  I will have to reconfigure that midi somehow, but Sonar is getting info.  That is good!
 
OK got it working.  Check in and I will tell you how to do it.

Cool! I still haven't figured out the MIDI controls yet.
 
I use USB 2 on an HP laptop i7 16gb ram (no firewire). IE doesn't always steal the drivers but usually. Other apps occasionally cause dropouts too. I may try it on my XP desktop (no internet) to see the difference.
 
I bought a blazingly fast flash drive but returned it before even trying it. I seriously doubt it will record 24 bit on anything less than a USB harddrive. I won't buy one until I need it, though.
 
Current specs:
ASIO @48/24
Buffer size: 20.2 msec/968 samples
RT latency: 48.4
 
Behringer Control Panel:
Sample Rate: 44.1(?) (set to 48 in Sonar)
Stream buffer: 2.0 ms
ASIO buffer: 20.0 ms/968 smpls
WDM sound buffer: 10.0 ms/528 smples
Drop outs detected: 0
 

Another thing... you're supposed to be able to route the Aux Sends to a Sonar track, but when I do the recorded signal is dry. The only way I can get a wet signal into Sonar is to record from the Mains (ch 11/12), so I don't get how that's supposed to work either. Manual is little help.

Use the transport buttons on the UFX to control transport in sonar:
 
1. Make sure UFX........MIDI is checked in the INPUT section of "Devices" in Preferences
2. Set up a New Control Device in the Control Surfaces section in Preferences:
    a.  Use Act Controller for the template, not generic midi controller
    b.  Select the UFX.........MIDI for the input.  None for the output
3. Open the properties page for the new controller.
4. Use "midi learn" to route the buttons on the UFX board to the correct MidiCCs in the template.
5. Save the template as a new preset.
 
That's from memory.  Try it.  Let me know how it works for you.

So far all that works for Controller is Rewind, Stop, & Play. Record won't even activate in learn mode. Oddly, the 1st 8 tracks show the controller color strips at the bottom even though the UFX only controls 3 transport functions.
 
Very limited but... something, I guess. I got this to work with the "MAC" setting not the "Std" setting.

To make this problem solved more easily, just download the file from the link I posted at the bottom and do this;
 
1. download the file and keep it in a download folder of your choice.
2.extract the file in the X64 Folder to the sonar folder C:\Program Files\Cakewalk\Shared Surfaces and confirm replace file.
 You have to do this every time you update sonar platinum!!
 
I found this file months ago and it works like a charm with my UFX1604!
 
http://www.mediafire.com/...ackieControlPlugin.zip