Sanderxpander
I wonder what people mean with "working with Sonar" as any midi keyboard (or other midi controller) will basically work just fine "out of the box" for recording midi and playing softsynths. Do you mean transport and mixing controls of Sonar itself? Would you really want to do that from your keyboard?
The "integration" with a DAW (not only Sonar) means controlling the DAW and/or indirectly controlling VST(i) plug-ins. So transport, mixing, FX, shortcuts, etc.
It's worth noting that softsynths each have their own mapping and whether a given controller "works with Sonar" has very little to do with whether or not good templates for controlling favorite softsynths are included. That said, almost all modern softsynths have decent "midi learn" functionality.
That is almost true for softsynths. Pure VSTi protocol supports:
a) MIDI input for whatever processing by VSTi. That is what is possible to "MIDI Learn" (when supported) or at least control with MIDI (when fixed)
b) "automation parameters". Most VSTi expose parameters to DAW using this mechanism, "duplicating" the possibility to control the same parameters by MIDI. Since unlike 7bit standard MIDI (1-127) this approach can have arbitrary precision, for some parameters using track automations instead of MIDI CC has advantage (f.e. frequency). Only VST Host (DAW or other "Host in Host" like AutoMap, NKS or Advance) can "translate" MIDI (or something else like OSC/EUCon) into automation parameters changes.
c) "bulk" preset loading/saving. That is how current "state" is save into the Project file. Only DAW mechanism (or "host in host", as mentioned before) can be used to change these presets. Normally VSTis are NOT providing MIDI bindings for such operations since presets can not be loaded in "real time" (think of loading big set of samples into memory)
Also FX VST are normally not associated with MIDI input (except may be guitar FXes), so they can not be controlled using method (a).
Yet another point is the "feedback". MIDI learn approach is not giving any feedback, so "advanced" functionality of modern keyboards (encoders with rings, motor faders, displays) can be used with (b) method only.
With that in mind, the host integration (either in Sonar or inside "host in host") plays significant role in plug-ins inter-operation with controllers even in case "MIDI learn" is possible inside these plug-ins.