What you are experiencing is probably a lag while SD is loading samples. The first time through, not all samples have been loaded yet. The second time, they've had time to load.
In the lower-left of SD's UI there are windows that show how much RAM is being used, and the message "loading samples...". Open a project and immediately show the SD UI, and you'll see the "loading samples..." message while the number in the "Loaded" window will be incrementing as samples load. Wait until the "loading samples" message goes away and your drum track should then play without missing notes.
If you have the "Cached" option enabled to save RAM, samples do not load until they're needed, so it's necessary to play the song once all the way through to load up all the samples. Since it takes longer to load them than it does to play back, some hits might not be heard the first time a given instrument or articulation is activated. Caching will, however, greatly reduce your RAM usage, often cutting it in half.
The volume increase on freezing is due to a bug in SONAR that's been around since SONAR 8, in which mono outputs increase by 3 dB when bounced or frozen. I just routinely drop frozen drum tracks by 3 dB using the trim/gain slider. It only applies to mono outs, e.g. kick and snare.