Why is Guitar Rig 4 Delaying my sound when my Latency is at 2.9ms?

Echo means two things:

1. You have direct monitoring enabled on your interface (either by a physical button or in its software mixer). You need to disable that so you're only monitoring through SONAR with GR.

2. Some GR modules/patches need more or less Plugin Delay Compensation (which SONAR adds automatically) because they use an extra lookahead buffer to do their processing. You can override PDC on input monitored tracks that don't have the FX on them, but presumably you are recording guitar on the track that has GR on it, so you can't override it there. I'm not a guitar guy, so I don't know which FX in GR add the most latency, but you might need to find a combination that doesn't need as much PDC for tracking, and then add the big guns at the mixing stage.

SONAR recalculates PDC when the transport is started for recording or playback or input monitoring is toggled after inserting an FX the uses PDC. Once it's in place, it should continue to be applied to input monitored signals after you stop the transport. If this is not the case, you might have something else/additional going on.