If you make a template that is set the way you want all your tracks then it will work.
I have a template for every type of situation I might use in Sonar. I have all my in's 'n outs set up and save it.
So If I'm recording a backing track, It will give me all the tracks I normally use which are pre set to every in/out plus all my soft synths tracks ready to go. .
Another cool trick is the Alt A to select all, go to - tracks / properties / outputs and select Master. This is also handy to assign all midi tracks to TTS-1 if you want to listen to a downloaded midi file.
Sonar can be clunky until you learn how to set things up properly. Then it's much faster to work with.