Digging further into this, I found that the specific controller that is affecting Cinematic Strings 2.1 is CC 1 which is controlling Modulation.  Cinematic Strings uses modulation as an expression tool.  When Sonar resets all CCs to zero on stop, the Modulation goes to zero and you can't hear the strings.  
 
So probably the better solution is to leave the "Zero Controllers at Stop" checked and then to set up an envelope at the beginning of the strings track to initialize the controllers to whatever you want them to be.  I tried this and it works fine.
 
I don't think Sonar's default setting is much of a usability issue; it's just something that you have to know about the software.  Actually, I prefer having the controllers default to "zero at stop" so that when I restart I'm starting with variables initialized to known quantities rather that at whatever value they happened to have when I pressed the stop button.
 
 
 
 

Ok thanks for clarifying, I was genuinely scratching my head on that one (often I'm confusing myself!)... cheers...

That setting can expose a similar issue with Reaktor, depending on the ensemble that is loaded.
 
I drove myself NUTS trying to figure out why the pitch on a Reaktor preset was ending up playing a whole step flatter than when it started, and it ended up being something that the ensemble did because of the Sonar setting all controllers to zero, per that setting.
 
So, after going round and round and round on it, I finally stumbled across that zero controller setting and removing the check fixed that problem completely.
 
I think it is more of an issue with Reaktor than with Sonar, just in the way they set that preset up to react like that.
 
I think the same thing in Kontakt - that they could have set it up differently, so that simply zeroing out controllers in Sonar wouldn't cause such goofy problems.
 
Just my opinion on it, 
 
Bob Bone