I'm using Line 6 Monkey as my input and output midi device. 

Line6 Monkey is not an audio device. Its a program that updates the drivers on your devices. So what is your audio interface? 

Try this: 
Insert - Softsynth (Select the TTS-1 which is a General MIDI synth)
Make the output of the MIDI track the TTS-1
Press play. 

If you have an external synth keyboard or rack module, then set the output of the MIDI track to your MIDI interface instead of the softsynth.

No it isn't,  until you "get it" :) 

Don't feel bad, it's one of the most common frustrations with using Sonar for the first time. But reading the Help files is really a good idea like Steve has recommended.