Regardless of the capabilities of the Kronos to pass audio through the USB connection, I think your computer not having a dedicated audio interface will plague you with audio dropouts, crackles, and lag between when you press a note and when you hear it play back through Sonar.
Audio interfaces have drivers that route the massive data generated from a streaming audio application, such as Sonar, to the specialized circuitry of the audio interface, where the interface handles any digital/analog conversion needed.
Without such an audio interface to do all of that data conversion, that task would fall to your computer's CPU, putting a SERIOUS burden on it, and almost always this causes huge problems with dropouts, crackles, pops, distortion, and lag.
I HIGHLY recommend you consider picking up a dedicated audio interface, and getting it installed and configured for Sonar on your computer.
A basic, but good sounding, audio interface will start at around $150, and will range from there on up to well over $1000, depending on features and inputs/outputs.
If you are primarily using soft synths, you won't need so many inputs or pre-amps, and you could get an interface that just had maybe 1-2 input jacks (usually these are combination mic pre-amp / instrument jacks), and these are the ones in the $150 price range.
If instead you need a bunch of inputs, for several guitars and some vocals, then you would want to pick up an interface that had maybe 8 sets of input jacks. I have such an interface, and it ran me about $500.
But whatever level of features and inputs of the interface, the unsung hero with them is that the interface takes on the formidable task of the data conversions, and even the $150 interfaces will produce a nice clean sound, free of audio dropouts and all of that.
Most interfaces seem to work well with ASIO driver modes, and while that is not universally true, it is a generally safe bet that this would be the case with whatever you were to pick up.
ASIO4ALL is a band aid sort of freeware driver application that really uses WDM under the covers, but it masquerades as an ASIO driver to Windows. While it works for some people, far more folks have headaches with it, so I cannot recommend its use.
IF indeed your Kronos supports audio through the USB connection, I think it would also benefit from also using the audio interface to process the data conversions, and that might make it a workable thing to do.
So, that's my 2 cents worth - I hope you get everything worked out - if you decide to pick up an audio interface and have any trouble, I would be happy to guide you through getting it configured for use with Sonar.
Bob Bone