Yes look there first but I'm not optimistic. There's a bunch of us here who work with these downloads all the time so trust me. If that PG is hidden by Sonar you'll be hooped and will have to open the file in another DAW or even a simple midi sequencer to delete it.
And if the piano is changing to an oboe in the same track there are PG changes in the middle of the song.
Once you get rid of those PG changes the file will behave normally and you will be able to get on with Chapter 2 of Johnny's Idiot guide to downloaded midi files.
For one I shut down all those kind of changes. Midi oboe is terrible sound and to be avoided to by anyone with pets in the house.
When you get better at this you'll be able to wield that track into something way better than the original.