Got a response from Izotope:
In order to use MIDI Control in the Harmony module in SONAR and other Cakewalk hosts, you must load the VST version as a Synth. If you do not do this, you will not be able to control the Harmony module from a MIDI track or controller.
SONAR can only send MIDI information to VST plug-ins it classifies as an "Instrument" - so you need to tell SONAR to use Nectar 2 as an "Instrument" before you can use MIDI Control. After taking these steps, you'll be able to find Nectar 2 listed under your "Soft Synths" rather than "Effects," but you'll be able to add it as an insert effect to any track or bus.
Configure Nectar 2 as a "Synth"
1. After installing Nectar 2, go to Cakewalk's Plug-in Manager (Tools | Cakewalk Plug-in Manager).
2. Next, find Nectar 2 in the directory of VST plug-ins that are displayed and select it in the list. (if you don't find it here, you may need to hit Scan VST Plug-ins first.
3. Under the "VST Configuration" controls, press the "Plug-in Properties" button.
4. Make sure the "Configure as Synth" checkbox is selected.
Add Nectar 2 to a Track or Bus
5. Right click on the Effects Bin for the track or bus you want to add harmonies to.
6. Go to the Soft Synths category and select Nectar 2
7. Create a new MIDI track in your SONAR project.
8. On the MIDI track's output dropdown menu, choose Nectar 2 from the list.
9. Playback audio, and use your MIDI Input Device to play and record harmonies.