Yes... the routing of the tracks is important. Be sure all the tracks are going to the master buss. It is possible to assign a track to skip the master and go directly to the sound card.
I too select the "WHAT YOU HEAR" option for exporting.
A master bus should be default in every project, but it is possible to add additional sub-buses to handle various aspects of the project, and these are defaulted to output into the master unless changed.
I guess the next question would be how are you listening to the wave that was exported?
Is it in a different music player?
Is it played back in Sonar?
If in Sonar, did you create a new project for it or did you insert it into a track in the same project?
Because..... if you insert it into the same project into a new track...AND that track is running to the master bus..... AND you have compression and other FX in that master..... the new track which already has the FX applied to the music is now getting treated AGAIN at the same level by the FX in the master..... hence you hear it as much more compressed and effected.
You can route that single track direct to the sound card/interface and that should be a "what you hear" situation since it's skipping the master and it's FX.
WHAT I DO: to check a mix..... I export the project with What You Hear and open it in a wave editor. The wave editor plays back through my Studio Monitors using a driver other than ASIO so it will play with SONAR open..... and the sound quality is exact. My editor is WavePad.
just a few thoughts.