Sounds like you've got a midi type 0 file imported - ie. multichannel events on a single track. Not convenient. Try an export from the drum machine to a midi type 1 file and it'll import to sonar with drum and bass on separate tracks. If drum machine not capable of type 1 export, a little extra work will be needed.
Not at DAW now. Track channel setting is in track control pane at left (when exposed by appropriate view filter), but that's not where the problem is. FWIW, note events are channel specific - ie. channel is an *attribute* of the event. Generally, a sequencer's track channel setting will override the event channel. Probably, yours is set to none, or maybe omni, which is why the track played back as expected. You can use the event view to see how the data are parsed. BTW, after importing an externally generated midi file, it's good practice to check for undesirable control events at top of track(s).
Hope this doesn't amplify confusion.
-Ron