Whether "Give all keystrokes to plug-in" is needed for saving depends on the plug-in. Even that option may not be enough for some plug-ins. SONAR does work like any other app however most apps do not host other applications. The breakdown happens with the variety of ways the application (i.e. the plug-in) being hosted are written.

scook, I can confirm that other programs with the same functionality of bypassing the host to send keystrokes elsewhere work the same way. IIRC the "give all keystrokes to plug-in" was not a core feature of the original Cakewalk DAWs, but added on as an accommodation to certain third-party plug-ins.