The default location is in your
"Cakewalk Content\SONAR X2 Producer\Project Templates" folder. I believe that is normally on your C:\ drive but may be different if you chose to install it somewhere else.
You can change the path in
Preferences---->File----->Folder locations so that's another thing to check.
If you've managed to delete them accidentally you can run the installer, change to a custom install and just install the templates.