it does that

Stupidly enough this was one feature my POS sound blaster Audigy card could perform, it had a little GUI mixer. Each source had a few options and "REC" had the "What you hear" option. 
I was so dumb I didn't know Cakewalk Guitar Studio had an Export feature, so I used to set Wave Lab in record mode and flip back to GS and hit play. I did this for a year! But this make me think I probably could have set an Audio track in Cakewalk to also record the output of the sound card. 
 
I know a What you Hear option is probably not possible with a proper ASIO audio interface, but are there not a few interfaces that allow loop back in the software routing? 
 
Anyhow I'll vote for this feature even though I don't think I'd use it, I think a lot of people would for live synth tweaking. I have this KVR freebie "Warp Delay"  that would be best to record that way. 

theres an excellent warning sound that occurs telling you have introduced a feedback loop! the fact that it may be possible to introduce one is not reason to exclude it. 
 
the recorded to tracks can simply be muted or input echo turned off, either manually! or Sonar should do it automatically. its not an issue preventing the feature at all. as stated above, other DAW's can manage it. 
 
@johnnyV: one of my computers actually has an EMU 0404 that uses Patchmix software which can introduce sends at its output. I am lucky enough to be able to use this send as a tracks input to record back into Sonar a single output in realtime. trouble is its only one track at a time, and furthermore its only on one of my computers. @lawp @scook there is no feedback loop unless input echo is turned on. 

This is all true. It does not change the fact that Cakewalk has used feedback loops as a reason for not implementing this feature. There are other software solutions to the problem such as VoiceMeeter. I intentionally bought an interface with more I/O than I need just for this purpose. I also agree it would be a nice feature to have, along with real time effect recording in audio tracks.

If Cakewalk implements it, it a treads onto Ableton territory. That can only be a good thing....
 
Cheers..

As per:
http://forum.cakewalk.com/FindPost/2949976

At present Sonar X3 cannot record plug-in effects or synth output, and this is a BIG deal for people who own synths or controllers with multiple outs. The most that can happen is a bounce which is far too time consuming in a lot of scenarios...   For use case and better understanding of the requirement please check:
http://forum.cakewalk.com/Waveform-Preview-m2949348.aspx

Please can we have more flexibility with outputs in Sonar ! :)

Quotes that may persuade you:

Scook: "SONAR cannot record plug-in effect or synth output without a plug-in recorder in the FX bin to save the output to a wave file outside of SONAR or use a loopback through the audio interface." "The subject comes up every now and then, Cakewalk has never provided the capability. "

Sanderxpander: "Ableton does this just fine and I've used it effectively in the past."

CakeAlexS "I have given up on religion now I realise I cannot do this. I have come to the conclusion that there is no God and I will be spending more time with the womens 5 a side hockey team than with my Native Instruments devices".  

If that doesn't persuade you nothing will... I make light of this but it is a serious request.
 
(note there is a workground using a muted clip, see references).

This request appears quite frequently, and despite their being potential workarounds, I think a lot of folks would appreciate this functionality.
 
I too vote for it, 
 
Bob Bone
 

+1 Funny I was looking for that feature today. I wanted to output audio track (with TH2 on it) --> input of another audio track to record the movement of microphone. Perhaps you can automate that, I just don't know how.

Microphone position can be bound to the smart controls in TH2 which in turn can be automated. The process is beyond the scope of this thread.

This is a simple example of an application for this, though it is more useful for random parameter switching synths.
http://youtu.be/IDCA2ybiOqU