Really old thread, here's an update for Sonar Professional - which is now RIP. The instructions above are correct:
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This is controlled by the "local" MIDI parameters in the ttseq.ini file. If SONAR is turning local control off, you should see the parameter "SendLocalOff=1" in the ttseq.ini file. Replace the "1" with the number "0" and save the file. Then next time you start SONAR it should leave local control on.
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Page 1711 of the Sonar Ref Guide in C:\Program Files\Cakewalk\SONAR Professional address the ttsseq.ini file. It doesn't say so but I had to put the "SendLocalOff=1" directive in the [OPTIONS] section, otherwise it doesn't work.
The initialization file are found here:
SONAR Platinum: %AppData%\Cakewalk\SONAR Platinum
SONAR Professional: %AppData%\Cakewalk\SONAR Professional
SONAR Artist: %AppData%\Cakewalk\SONAR Artist
Cakewalk.ini
TTSseq.ini
Aud.ini
Hope this helps someone.