Did you try inserting this as a Simple Instrument Track?  That would be easiest.

If you did, then to set Output to master, you would need to click on the Audio tab at the bottom of the Inspector (on the left).  Master will probably not be an option if you are on the MIDI tab.  That is not especially obvious.

Apologies if you already know all this.
 
The other (remote) possibility: I am aware of a bug in Sonar that blocks audio from a soft synth after a certain number of synths (VIs) have been added to the project.  I cannot isolate the root cause because the number of synths that will work seems to vary by project.  Sometimes, after I have 7 or 8 soft synths, I have to freeze one or two to get the next one to work.  This is not a memory problem as I have lots and Task Manager shows that I am only using a small part.  This is a strange Sonar bug.

Progress! But still no sound. Following Bob Bone's instructions exactly, I was able to get Master output to show up in the audio track. Still no sound from HSO, however. MIDI appears to be working (I see activity on both the soft synth and the MIDI track when I use my controller keys and mod wheel). Here's a new screen cap: http://i.imgur.com/9xyvtDW.jpg

This gets evermore maddening. I am able to get HSO to work in Reaper as a Rewire SoftSynth. I am not great with Reaper, but I at least able get HSO to play sounds via MIDI notes in it.