Sonar exports exactly how you tell it to. Are you setting your export properties correct?
Also, other playback systems are different, so you need to take into account that songs may sound better in your studio, as you may not have a tuned environment that your mixing in and when you play it back on other systems it will not translate well, because you never mixed it in a tuned environment. That's one of hundreds of theories.
None the less, you need to tell us more about exactly what your doing and your entire signal chain needs to be gone over and the other playback systems need to be listed.
You do not have enough info listed in your post to tell you what you are doing wrong