The last time this came up, the issue with Audacity was that it is used project files instead of loading audio files directly. In that sense it works more like a DAW than an audio editor. Sound Forge and other audio editors open audio files directly. That is why they can be called from SONAR with the audio clip automatically opening. If it is the case that Audacity now works like Sound Forge then it might work from the SONAR utilities menu. You are not going to break anything by trying it.
While I own Sound Forge and have it wired into SONAR, I rarely use it in that capacity. I go through the exercise of adding Sound Forge and other editors to SONAR to make sure it still works to support threads like this one. It has been years since I have felt the need to through a clip into another editor from SONAR. SONAR is enough of an editor for me. I use Sound Forge for "mastering", batch conversion and other editing tasks when I don't want/need to fire up the DAW.