Midi stopping

I have numerous questions here I was hoping some of you can assist me and answer.

When trying to lay down a midi section (midi out to my hardware synth) I try to start a continuous loop by selecting the area I would like to loop and pressing shift + space and then L.  However if click anywhere off of the notes or in the track view Sonar continues to play but none of the midi notes are triggered.  I have to restart the loop again and then same thing happens.  Am I doing this incorrectly?

In the step sequencer when you click record is there a way for it to record the notes when you play them and not just step by step.  It's not exactly very useful to click record and to have it draw the note then move to the next step and draw the next note.  You have to do the re-arranging with that method anyways.

Can someone point me in the direction on how to use a midi controller with this software.  In Flstudio you clicked last tweaked knob and then turned the knob to get it to link to your hardware controller.  How do I do something similar in sonar? Do I ahve to set up a bunch of things by hand in the act dialog? Or is there a way to easily link whatever I want to control to my keyboard without mass amounts of set up each time?