When inserting a synth and corresponding tracks, I always:
1) Insert the synth into the synth rack. I happen to have most options in the insert soft synth dialog box unchecked, as I like to manually insert the corresponding tracks myself. I DO have the Synth Property Page checked to open, so I DO get the synth UI page opened after the insert.
2) I load a desired instrument into the synth, and close the synth property page.
3) I now insert either a single stereo track or a left and right mono audio track, as well as a midi track, in the Track Pane.
4) I configure the audio track(s) Input to pick up the output from the synth, using the drop-down list from clicking on Input in the channel strip for the audio track(s). If using a single stereo track, I pick the stereo output from the synth, otherwise, I would assign the left and right outputs from the synth accordingly (and pan left and right in the mono tracks). The Output for the audio track(s) I leave alone, which would default to the Master Bus. (If I wanted to, I could also insert a stereo bus and route the audio track Output to that bus, for whatever reason, and then eventually that bus would feed back to the Master Bus). ONLY the Master Bus is ever set to point to the actual audio interface ports.
5) I also set the midi Output in the midi track to point to the synth in the synth rack. I leave the input set to its default (it might say All in 8.5.3 or Omni - cannot remember, but I don't bother with it unless the synth is multi-timbral and using multiple instruments).
6) I then would click on the midi track, and with the default, Sonar would then automatically turn on the Midi Echo On, which would allow me to hear sounds output from the synth.
So, the above is a short explanation of setting up a synth such as Dimension Pro, in Sonar, and getting things configured to hear sound.
I hope that helps,
Bob Bone