Does this happen with one soft synth, or all of them?
Also, record some pitch bend midi data in a midi track, and see what midi events are captured in Sonar, and post that data here. (Right-click on the midi clip and View Event List).
Volume is normally assigned to CC 7 and/or CC 11, by the way.
Here is the link to your documentation on your MV-8800:
http://lib.roland.co.jp/support/en/manuals/res/1810976/MV-8800_e6.pdf There is some doc starting on or about page 67 for continuous data parameters and such, and possibly this would shed light on things.
I would imagine the areas to look at would be:
1. What your Fantom is transmitting when you move the pitch wheel.
2. What your MV-8800 is re-transmitting
3. What Sonar is recording
4. Soft synth parameter settings
I am also a little confused - I have no knowledge of the MV-8800, so forgive me, but why wouldn't you simply connect your Fantom keyboard to your computer with a USB connection? (or does it not have one and you need to use the MV-8800 to access an old-style actual midi connector?)
Lastly, did this EVER work in Sonar?
Bob Bone