Each loaded instrument in a Kontakt multi-rack will automatically get the next available midi channel assigned to it.
You need to make sure you add the correct midi OUTPUT channel for each instrument's corresponding midi track, to match that instrument's receiving midi channel, as set within Kontakt.
So, if in Kontakt, you loaded Piano, then Bass, then Organ, Piano would get midi channel 1, bass = 2, organ - 3, by default. You also want to use the batch function in the Output Section in Kontakt, to clear all assignments and insert a stereo output for each loaded instrument. (I also rename these to match the generic instrument, like Piano, Bass, and Organ).
Then, you would have in Sonar 3 midi tracks, one for each of the Kontakt instruments, and also 3 stereo audio tracks.
OK - now you play connect the dots. After setting the midi output to Kontakt, set the Midi Output Channel for each midi track to match that of the loaded instrument in Kontakt. This setting is on each midi track, just below the FX bin.
Then, set the audio input for each audio track to the appropriate output channel from Kontakt.
Ta-Da....
Bob Bone