Sonar Input Echo Monitoring? explain me what is exactly and when to use it and when not?

Without getting into the specific use cases and gear you mentioned (and I won't go into the MIDI input Echo... only the audio because that seems to be what you are looking for)...
 
1) The Echo/Input Monitoring function simply allows you to hear the audio incoming from whatever sound source you have the track's "Input" set to (example: an input on your audio interface or in the case of an Aux Track the output of another track in the project)
 
2) This is ONLY for live monitoring of the input. For example if I want to record my guitar from Input 1 on my interface I would set the track input to draw signal from that physical Input. Of course as I record I'll usually want to HEAR that signal as I play and the signal is recorded. HOWEVER the signal from my guitar/interface will be recorded whether I have Input Echo engaged or not. If it's turned off I just won't be able to hear the incoming signal AS I PLAY/Record. As soon as the recording is done though then the new audio clip will be audible upon playback.
 
3) Some audio interfaces have something called "Direct Monitoring" which is sometimes referred to as "Zero Latency Monitoring". It sounds like your interface may be one such device. When you have the interface's Direct Monitoring function engaged you do not need the Input Echo button engaged. In fact you do NOT want it engaged because then you'd be getting two signals. One from the Direct Monitoring from the interface and the second from the SONAR track. Since the "Direct Monitoring" signal is usually more akin to a straight hardware feed (like from a mixing board) it is not going to pass through the same buffering as the signal from your Sonar track so there may be "latency" between the two (ie: the Direct Monitor signal will have virtually "Zero" latency whereas the signal from the Sonar track may have a delay of X amount of milliseconds (depending on your buffer settings). So the DM signal is "instant" but the sound from the Sonar track can have a 6 or 12 or 20 millisecond delay. This will cause a (usually) undesirable "delay" effect and even if you LIKE the sound of that delay it will not be reflected in the recorded material (you would want to use a delay plugin or other tools/techniques to recreate that delay if you are so inclined).
 
4) Direct Monitoring completely bypasses any effects you have added to the Sonar track or any downstream busses. So let's say I am recording a dry guitar signal and want to use an amp simulator as I record I would need to disable the Direct Monitoring, insert the amp sim into the target Sonar track's FX Bin and make sure Input Echo is engaged on the track. This way all the signal I hear is going directly through the amp sim I've inserted on the track (as well as any other effects). If I left the Direct Monitoring engaged then I would hear both the "dry" guitar signal from the interface AND the amp sim signal at the same time (as well as any buffer related delay/latency). Obviously that is undesirable.
 
5) After tracking/recording is completed turn OFF the track's Echo Input so you are not hearing any unnecessary noise from your live input as you mix or record into other tracks. Example: If I leave my guitar plugged into my interface input and leave the track's Input Echo engaged then any hiss/string noise/etc will be audible while the recorded clip plays back. Like the recorded clip will play but if I nudge my guitar I will hear the string noise. So just turn it off when you are done recording and no longer need to monitor the live input.
 
I could go on but hopefully that's a good start for you to figure out what you want/need to do.
 
I might be back later.
 
Cheers and welcome.

If the virtual instrument was added to the project with only MIDI and audio tracks, then the MIDI tracks would need input echo enabled. If the VI was added using an instrument track and a MIDI track then the instrument and MIDI tracks would need input echo enabled.