mudgel
Put in a feature request.
http://www.cakewalk.com/Support/FeatureRequest.asp

If you do...   I'll "Star" it.   

I have never fully understood why Sonar routes MIDI by setting the output of a MIDI source to a MIDI destination.
This multiple MIDI issue in OP would not exist if Sonar routed MIDI by setting MIDI inputs to a MIDI source.
example :
TRACK 1 is a MIDI track which contains the MIDI which you want to route to multiple places.
TRACK 2,3,4 are MIDI tracks which control synths or just simple instrument TRACKS.
set TRACK 2,3,4 inputs to TRACK 1 out.
Done.
 

My friend told me the way, he found here somewhere or ytube maybe.
You copy the needed midi track clip, then create a new midi track for each instrument, then you do @PasteSpecial and select @LinkToOriginalClip and you can check advanced options.
So next time, when you will edit original clip you'll get those changes propagated to all linked clips and well it is more flexible way, since you can change time of each clip or instrument volume and whatever is needed.
After you set exact start time for each clip, you'd better group them together, so they will be tied, just ctrl+click each clip and rightClick -> Create selection group from selected
Cakewalk // Documentation // SONAR X2 //  Arranging and editing -> Working with linked clips
And well, if you click that red button on each midi track and try to record notes from your midi-plug, then all those synths will play together and fill up all those tracks at the same time.