Different audio interfaces work differently with regard to opening or not when you click on the ASIO control panel from within Sonar.
I happen to have a Presonus Audiobox 1818 VSL, and I make any changes in its UI from the system tray. I just fixed a friend of mine's computer, and his interface is an EMU Tracker Pre, and for that one, you make the changes from within Sonar by clicking on the ASIO control panel button.
So, it appears to be a case of the whatevers,
Bob Bone