I sometimes have pan, reverb, and chorus commands in my MIDI tracks while I am arranging, but I remove them before recording and process everything on the audio track as you say. I don't think the fader does anything to a MIDI track, but I could be wrong.
EXTERNAL SYNTHS:
I may have a mutli-timbral synth (like a Motif or something) coming into one audio track while I am arranging. For example, I may have six or seven instruments coming into Sonar in stereo from one synth. Then, at some point when I am happy with the MIDI tracks, I do this:
1. Remove the effects and panning from the MIDI tracks (unless the synth has some unusually good digital effects and I am sure I don't need a dry version)
2. Clone the audio track several times.
3. Mute all but one MIDI track and one audio track and record the synth onto the audio track. Once a track is recorded, I turn its input and echo off so it plays only the recorded audio and not the other MIDI tracks.
4. Now I mute, the MIDI track I already recorded, and repeate the process until I have recorded all the separate instruments to individual tracks.
5. After recording, be sure all the MIDI tracks are muted so they don't play anymore.
6. Note that before recording, you may have to set the Controller 7 value appropriately in the MIDI track to get the audio at the right level.
SOFT SYNTHS:
I generally use pan and volume in the audio track; however, some soft synths have very good effects and I may use them. For example, I use the reverb and EQ built into Synthogy's Ivory II.
I put all MIDI tracks in a MIDI folder, mute the foilder, and hide the folder after I am finished with them so they don't confuse me during the mix.