Is there a simple setting to change how the sustain of a reverb or delay FX behaves when you stop playback? 
 
For example; I load up Dimention Pro, draw something in the PRV, apply infinite delay with BT Tempo Delay and play that back. When I stop playback the delayed instrument continues. This will happen when using any delay or reverb FX.
 
I recently upgraded from Sonar 7 to X3d, so it's been years since I tweaked with Sonar's settings!, whenever I stopped playback in Sonar 7 all sound stopped which is how I'd like it to be with X3. 
 
I have a feeling there's a setting somewhere that could help this?!

Try lowering the feedback setting. This will give you a shorter delay.

Untick the box Play Effects Tails iin the Edit/Preferences menus(somewhere...it's a while since I looked )

Zig
Untick the box Play Effects Tails iin the Edit/Preferences menus

 
I think with the addition of VST3 this has been removed.
 
There is a new checkbox...
Preferences > Audio > Playback Recording >Always Stream Audio Through FX
 
This does not stop FX when you hit the stop button though.
 
There is a button that resets the audio engine, but I don't think this is what the OP is looking for.
 
As far as I know, the checkbox to stop FX tails is gone from Sonar in version X3.

I'm not really sure why we have an 'Always Stream Audio Through FX' checkbox.
 
For me, everything works the same checked or not checked. The only difference is processor consumption on the cores while the DAW is idle.
 
I'm guessing there are FX that need to be warm when you start playback? idk.

gswitz
As far as I know, the checkbox to stop FX tails is gone from Sonar in version X3.

Yeah, just looked, it would appear so. That's exactly what I was looking for.
It's not a huge deal, it's just on occasions I'll make an ambient texture in the background of a track using a very long or infinite delay or reverb. To have the sound continue after hitting stop is slightly annoying - especially when it wasn't an issue on Sonar 7.

Yeah. I hear you. The only way I know of is to click the Stop Audio Engine button...
 
http://www.cakewalk.com/Documentation/default.aspx?Doc=SONAR%20X2&Lang=EN&Req=Recording.24.html