I don't own a microbrute, but I do have several hardware synths, so this is a bit of a generic answer, but I think it should work.
Connect the Microbrute via USB. That handles MIDI from/to the synth, and should show up in Sonar as MIDI ins and outs. You may need to check in preferences that the relevant MIDI ports are activated for use in Sonar.
To record the MIDI use a MIDI track with it's input and output pointed at the synth, and set to the correct channel. If you've managed to record the MIDI sequence data from the synth it sounds like you've already got this sorted. There is no need for an additional MIDI cable.
To record the synth's audio output you need an audio track. Plug the synth's audio out into suitable inputs on your interface/sound card and set the audio track up to have those inputs as source and the track's output to the master bus (or wherever else you want to send it).
That should allow you to record the MIDI you play and send it to the synth on playback and to record the resulting audio. One thing to watch is that you don't necessarily want the MIDI you've already recorded to be operating the synth while playing or Sonar to echo the MIDI back to the synth immediately after you've played it. If this happens you get a kind of echoing repeat as the synth is triggered twice, once by you then a few milliseconds afterwards by Sonar echoing back the MIDI.
Some synths get round this by having an option to switch "local control" off. If the Microbrute can do this, set it like that then set the MIDI channel in Sonar to echo the MIDI back. That way when you play a note The synth ignores the keyboard or control, while Sonar receives the MIDI then echoes it straight back to the synth which plays it. If you can' turn local control off, then disable input echo on the MIDI channel.
As to whether you can record control changes etc., that's down to whether the synth sends MIDI controller signals out or not. If it does, these will be recorded in the MIDI track the same as notes, if it doesn't then it doesn't and that's that. Some synths do while others don't.
Edited to remove gibberish from ipad spellchecker.