Yes in the Sonar media browser search is more like "filter" you can only "search" inside one folder which is next to useless! (they do advertise it as "Search filter" however which is a little crazy as it's really creating a filter here, not
searching a filter!!).
You need an app to play .RX2 files, there maybe a utility out there but Sonar will play them.
You can search for .RX2 files within explorer such as
*bass*.rx2*drum*.rx2 And then drag them into the Sonar window.
I would also strongly suggest (if you haven't already) organising your RX2 loops under a single parent folder.