I have seen Sonar X2a completely scatter my plug-in settings, but they were native plugs!  VX-64 I specifically recall going haywire.  I never mentioned it, and just got rid of all instances of the plug.  It may have been that they were pre-X2 projects?  Or they were created in 32-bit Sonar? 
 
If it is re-occurring, man, you can't really work that way, sorry.  Is Waves by chance running via BitBridge?  BitBridge always seems to cause problems for me.  I never use 32 bit plug-ins any more, and replace any I find to make sure BitBridge.exe is never running in windows processes.

ampfixer
That's interesting sharke. I wonder if it's SOnar doing the reset or Guitar Rig. One would think that a SOnar bug would attempt to reset all plugs on exit, instead of being target specific. I use Waves and Guitar Rig in a few projects and haven't seen this. How might we compare our preference settings?
 
I'll do a bit of digging and report back if I uncover anything. Don't give up. I've drank the other cool aid and it tastes like s*h*i*t*e too.

I can't really think what preference settings would affect this to be honest, at least none which would apply to Guitar Rig and Waves specifically whilst leaving all other plugs untouched. However what I do know from experiencing the weirdness with Waves GUI's in Sonar is that it is quite possible for a plug that works perfectly in other DAW's to get screwy in Sonar. I've asked about the Guitar Rig issue on the NI forums but have never gotten an answer, I think it's time that I contacted NI directly. Thanks for your help!

ampfixer
I can find nothing out of the ordinary in my config. The only thing that may be different, is that I don't use the 64bit double precision engine. Ever since X1 it caused issues so I turned it off and left it that way. I was sure that there was a setting to zero all controllers on exit but I can't find it. I thought maybe that was the culprit. The controllers were still talking to the plugs at shut down and zeroing them.
 
I should note that while checking this out in a project I experienced a SOnar event. A track appeared with data in it. Data that I didn't put there. I opened a take lane to see if that was related, and the data jumped into the take lane. I closed the take lane and the data was gone forever. It's a good thing I like puzzles.

I have 64 bit double precision engine checked, but I don't think that has anything to do with it. I think the setting you're talking about is "zero all controllers when playback stops" and is in the MIDI preferences. I think if that had anything influence on the problem, it would be zeroing the settings every time playback stopped and not just when the project closed. The last time this was happening to me however I did try with this on and off and it made no difference. 

Well here's a blast from the past...a Sonar user of yore who reported a similar problem with Guitar Rig and was told by Native Instruments that it's an issue with Sonar. We'll see what they tell me. 
 
http://forum.cakewalk.com/Guitar-Rig-Solid-Mix-Series-problem-settings-go-zero-m2430766.aspx

I'm almost there with ya. Sometimes you just get tired of fiddle @#$king around and just want to make music. Sure there's usually a work around or a way to track down issues but that gets old. I'm not so sure there is anything out there that is fool proof though.
 
Rocky

The only thing I can think of at present is that Sonar has potential flaws in the way in which it saves plug settings with a project file, because everything is fine until I reload the project. Nothing is happening within a project session to zero out these settings, it's only when I save it and fire it up again. But yeah, when you have limited time to work on your music and you seem to spend more than half of it researching and fighting problems and bugs in your DAW, maybe it is time to look elsewhere. I'd rather not spend the money & then have to learn another DAW from scratch, but if I can't get to the bottom of this then I can't see any other option. I don't even have the heart to work on a project at the minute because they all seem so fragile and disaster prone in Sonar. 

Sharke - instead of jumping ship why not just go back to X1?
 
In the current x2b thread I wonder the same thing.
no one wants to spend the $$$ and have to take the time to learn a new DAW, but X1d was pretty stable and it's still SONAR..
 
 

dxp
Sharke - instead of jumping ship why not just go back to X1?
 
In the current x2b thread I wonder the same thing.
no one wants to spend the $$$ and have to take the time to learn a new DAW, but X1d was pretty stable and it's still SONAR..
 
 

The link to a thread I posted above shows that someone was having the same problem as me back in 2011 (pre X2) so I'm guessing going back to X1 won't help me. 

Probably a naive question - but have you contacted Cakewalk's tech support?  Have they given any advice?

Trust me, call Waves Support. They know exactly the fix, and why this happens. I blame both Waves and Cakewalk for the trouble, but Waves can hop on your system and fix the trouble while you watch. It was easy in my case, and I haven't since seen a crash. Hope this helps!!