Beepster, S/PDIF is definitely the way to hook up the box. It's a way easier set up. Just make sure that you uncheck all references to the VRM box in Sonar's I/O settings, because Sonar doesn't have to know about it at all. This is something that confused me at first.
I would recommend the VRM box to anyone who doesn't have the ideal monitor/treatment setup. It's not a complete solution, but it gives you an extremely valuable extra reference which will reveal loads of problems with your mixes. It doesn't sound like listening on real monitors, but what it does is give you a way of checking your mix on a number of different speaker simulations, the idea being that if you can get it to sound decent on all of them, there's a large chance it'll translate well to all kinds of real speakers.
For people who have no option to use monitors at a decent volume (especially at night), it's a godsend, at least 1000% better than just using straight headphones.
The only thing is that you MUST have a good set of cans. It relies on you listening through headphones with a flat frequency response. So I don't think it would improve the situation with cheap headphones much.