That's right. My keyboard devise is clavinova.
Now I installed drivers for the device, as you advised.
I have Windows 10 Home, 64bit.
 
I enabled the devise, as you advised, checked the box and apply:
 
https: //s15.postimg.org/hc292zw97/image.jpg
 
and recorded:
 
https: //s22.postimg.org/8xlb9sjoh/image.jpg
 
No sound (but you can see that it is recorded).

okay now we are getting somewhere.
what you have here is a Midi track, that yes you recorded (we can see the midi notes)
but what is that Midi data feeding ?
 
It appears by the photo, its feeding nothing.
so I need to ask, what is your task ? are you trying to record the sounds from the Clavinova, or the sounds from sonar ?
 
Midi data alone can not make any sounds. this midi data must feed an instrument, a soft synth, exc.
 
That tab at the top that says: Custom
https://s22.postimg.org/8xlb9sjoh/image.jpg
Change that to: All
Then use the insert tab up the very top.
insert> VST Synth>Cakewalk>True piano
 
once you insert this piano, go back to your Midi track you created and send the output of that Midi track to: True Piano.
This will route your Midi track to the Synth.
 
This is important: What model is your Clavinova ?
I need to look up some specs on it to find out what it can do.
im literally blind here trying to make guesses.

I am trying to record my playing on the Clavinova with the strings effect on. Sonar I would like to use to record me playing some strings on Clavinova keyboard (my Clavinova has some sound effects built in) and after import another audio file and put these two together.
I changed to "all", as you suggested.
But, when I want to follow your steps and insert> VST Synth>Cakewalk>True piano, then there is no option for that:
 
https: //s18.postimg.org/mt693uua1/image.jpg
 
https: //s16.postimg.org/wn89nk6sl/image.jpg
 
I have model Yamaha Clavinova CLP 525.
 

then try using SI Strings.
We are trying to problem solve so it doesn't matter the VST.
 
your USB connection is for Data Transfer (midi messages) if you want to send the sounds of your device (Clav) to Sonar your going to need a Audio Cable.
 
What you can do however is use the Clav to send midi to Sonar to play the Soft Synths (SI Strings)
 

Clavinova
You do need a software instrument to record midi data. However, realize that Sonar will not record the SOUND of your keyboard, only what notes are being played. Basically your keyboard will be controlling the sounds of Sonar. If you want the particular voice of your clavinova, you will need to do an audio out of your keyboard into an audio in on your computer, and use a REAL Audio track.

 

I see!
Well, if I can use the Sonar's strings then it's great, but... They make no sound. I did all you said, but no sound. It records the track, but without a single sound. Silence. What to do?
I made some more screenshot. There came recently some weird changes, no idea where from - "No devices":
 
https: //s18.postimg.org/cpcklxbpl/image.jpg
 
https: //s11.postimg.org/q44e7g077/image.jpg
 
https: //s11.postimg.org/j3kb5jksz/image.jpg
 

So strange. Now devices are back (I didn't do anything!)
https: //s18.postimg.org/atakw4rhl/image.jpg
But still - no sound.
 

Watch this video and insert your synth the same way.
Instead of inserting SI Drums, Insert SI Strings instead

 
and then this one:

 
You need to brush up some Midi basics before moving any further. There are plenty of videos out there to help you accomplish this.
What we have here is not really as much a problem, as it is a misunderstanding on how the software actually works.
The Midi notes trigger the Synth. The Midi track needs to be routed to the Synth in order for it to make sounds. see what I mean ?
These Videos above are ones that I made myself. but there are many more out there.

I think you may be having trouble with outputing audio through your audio interface. Have you played any audio tracks successfully yet? 
Like if you plug in the audio output of your Yamaha to the input of the Tascam and record that to an audio track, does that record and playback? 
 
Did you install the newest drivers for the TAscam , use only ASIO mode with Sonar for audio. 
 
And to test a soft synth, insert the soft synth and use the GUI to play a note. Like if you load SI bass you can pluck a string and hear it. 
If your hearing nothing then you need to deal with your audio interface output etc. first. 

Cactus Music
I think you may be having trouble with outputing audio through your audio interface. Have you played any audio tracks successfully yet? 
Like if you plug in the audio output of your Yamaha to the input of the Tascam and record that to an audio track, does that record and playback? 
 
Did you install the newest drivers for the TAscam , use only ASIO mode with Sonar for audio. 
 
And to test a soft synth, insert the soft synth and use the GUI to play a note. Like if you load SI bass you can pluck a string and hear it. 
If your hearing nothing then you need to deal with your audio interface output etc. first. 

Did you have a chance to look at any of his links/pic's ?
he is using ASIO
https://s15.postimg.org/qz63ko6ff/image.jpg
Device is checked off
https://s15.postimg.org/4z8z36pq3/image.jpg
 
By looking at the photos he posted, it appears the midi track isn't feeding anything.
He is trying to record the sounds of his Clavinova through USB. That's not the way it works.
This photo here, there's not even a soft synth track
https://s15.postimg.org/hc292zw97/image.jpg
 
Audio interface is the least of his troubles at this point.
Learning how to insert a soft synth and some basic understanding of how midi works in Sonar is what is needed.
Im not knocking him or anything. we all started some where. The videos I posted will give a basic understanding of how to insert a synth and even set up his devices.
 

None of his links work for me, they are just text? But for some reason your re-postings work? 
 
If his Yamaha uses MIDI via USB then it should show as a midi input and output device,  seem he did install the drivers so it should be on the list. 
But if this is just a case of not pointing the track at a soft synth I guess the light bulb will come on eventually.. I think it's a common problem with newbies.  
 
But in theory he should be able to record the midi from the keyboard to a midi track and send that midi track back out to the Yamaha for playback. But first it has to show on the midi devices list. 
 
We both know this works.. just have to find what's not been set up properly yet.  
Then we'll talk him into using soft synth instead of the sound from the Clavinova..