Its the setting on the GR20 that's the problem. Sonar records MIDI on whatever channel you send it on so if you send each string on a different channel, that's what will be recorded.
Edit: I downloaded the manual and it says you need to put the GR20 into Poly mode. You probably have it in Mono mode.
Page 28: Poly Mode transmission
Performance data for all strings will be transmitted on a single
MIDI channel. The selected MIDI CH will be used. Since the
entire guitar will use only one channel, this lets you conserve
MIDI channels. This also lets you control a sound module that
is not able to receive six channels simultaneously.