You mix things a bit...
1) MIDI controller can "speak" directly with VSTi, the same way as keys trigger notes. And as with keys, DAW has no influence on that process, you will need to "MIDI learn" inside particular synth (if it support learning) or configure MX to send what synth except. That is the simplest, quickest and strait-forward option, especially if you want to tweak just 1-2 favorite synths. But sure, there is other option...
2*) I do not recommend to use Sonar "Remote control" is your case. While that is second in simplicity, controls used still "leak" into VSTi. The result (synth dependent, particular CCs on your knobs) can be very frustrating (in addition to the modification you was expecting from "remote", you can modify some parameter withing the synth. Sometimes hard to find which one, or not notice the change for a while)
3) for transport in any case and for VST(i) control if you want, you need some "Control Surface plug-in". It will intercept your operation of buttons/knobs (they will no longer "leak") and do something in the DAW (change volumes, FX/Synth parameters, etc.). Here you have a choice:
* Generic surface. Probably the best to start with. You can learn transport and several knobs for ACT (Dynamic plug-in mapping) mode. You just need to "ACT Learn" particular plug-ins. Does not take long. But:
- read Sonar reference guide (2000+ pages one, not introduction), dedicated section for Control Surfaces. It is very hard to do everything correctly without that
- do not mix "ACT Learning" with "Remote control" nor "MIDI Learn in VSTi" nor "MIDI Learn in Surface plug-in". While technically you map a knob to something, this "something" is different in all 4 cases.
- find ACTFix utility on my site (see signature) and use it. One unlucky day all your mapping will be corrupted otherwise and you will have to start from scratch (till you manually backup files).
* ACT MIDI. A bit more complicated, with a bit more possibilities.
* AZ Controller. Ultimate power, the price is the complexity... But you can try "Startup preset" (there is YouTube video), which will bring you up to "ACT MIDI" level quick (the difference is that with "ACT MIDI" you can not do more, while with AZ Controller you can).