Yes - the midi devices in Preferences are your external hardware, such as a midi controller keyboard, or an external synth, or a drum machine, or any external effects that happen to support midi - that sort of thing.
Soft synths refers to software synthesizers that live in your computer. These would not be found in the midi devices. Soft synths are loaded into projects through the 'synth rack'.
So, if the video clip is talking about making sure your midi devices are checked in Preferences, it would in this instance be referring to an external drum machine that is connected to your computer via either an actual midi connector or by a USB cable that carries midi data (more common these days).
Some of this should be covered in one or more of the Sonar tutorials that came with Sonar. There are also a ZILLION videos out there that can walk you through just about anything you would ever need to do with either external midi devices, such as drum machines, or with internal soft synths, such as EZ Drummer.
I hope that helps a little in clearing it up for you - there is a bit of a learning curve, but I can PROMISE you that if you invest a bit of time into watching tutorials, you will be extremely happy once it starts to click in your head. You have some amazingly powerful tools, and it should not take too long for you to be up and running with midi.
Bob Bone