Hi Teal,
In order for MIDI Machine Control to activate the DP24, MIDI connections must be made (MIDI i/o to an interface). Make sure it is set to MMC slave in the MIDI remote control menu. If you have a device ID set to something other than "All" make sure that device ID matches Sonar's MMC device ID setting in Preferences - Project - MIDI. (If you do not have other devices connected that respond to MMC, just use the "All" setting on the DP24 for the MMC slave ID.)
In Sonar, open Preferences - Audio - Sync and Caching (Advanced) and set to "Full Chase Lock", "Do not Switch Clock Source, but Start if in SMPTE/MTC mode", and "Maintain Current Clock source and wait for timecode." In Preferences - Project - Clock set it to SMPTE/MTC (or in the Control Bar Sync module).
With these settings, Sonar should send out MMC command to start to the DP24 at the now time's current location. The DP24 should then send out MTC and start Sonar's transport.
I suspect you have "Switch Current Clock source and Start Playback" set in Preferences - Audio - Sync and Caching (Advanced). This automatically switches the clock to an Audio sync when pressing play in Sonar.