No, you're doing it the conventional way. What Noel was talking about would not be applicable to a hardware synth because there's no closed audio loop for the External Insert to measure latency on; half the "loop" is MIDI. I think he misunderstood that the the Arturia is just a keyboard synth.
Normally, assuming your audio latency compensation is dialed in, the audio from a hardware synth will be recorded
late by maybe 3-6 milliseconds relative to the MIDI driving it due to MIDI transmission and synth response delays. There's a Timing Offset setting in Sync and Caching that can compensate for these small MIDI delays with hardware synths, but looking at your screenshot, it appears the audio is
early relative to the MIDI by a significant amount. This suggests either audio is overcompensated or MIDI is being sent early. But a discrepancy that large and in that direction might indicate some sort of driver issue.
The first thing to do is to make sure your record latency compensation is dialed in so you have a point of reference. The easiest way to do this is to use ASIO driver mode, and download the free CEntrance ASIO Latency tester (or use the External Insert that Noel mentioned) to measure the actual round-trip latency (RTL) with an audio cable patched directly from an output and input on your interface. Then you enter the difference between what CEntrance measures and what SONAR reports for RTL under Driver Settings as the Manual Offset under Record Latency Adjustment on the Sync and Caching page (not to be confused with Timing Offset in milliseconds mentioned above - that should remain 0 for now).
Once you've done that, the next thing I would suggest is that you set the Arturia to use Local Control between its keyboard and synth engine, and record simultaneous MIDI and audio from it into SONAR to check for a timing discrepancy at that point. In that scenario, MIDI should be late by a few milliseconds because the audio latency will be compensated while the MIDI delay is not.
If that checks out, try recording audio from the Arturia driven by a MIDI track in SONAR again, and see what you get.
Check back in here at that point, and we can determine what needs to happen next based on the results. One thing to try if there are still problems is to connect the Arturia via MIDI DIN connectors on your MOTU interface instead of by USB. Sometimes there can be sync issues between audio and MIDI drivers on different devices.
I hope that's understandable. It's a lot easier to do than to describe. There might be faster ways to resolve the problem by trial and error, but it's a good idea to understand what the MIDI and audio latencies are with different devices throughout your system so you really know what's going on. It'll pay off in the long run.