On the Tyros line, the sounds you hear from the panels may not be called up by your MIDI sequence because the Tyros uses effects and processing that are not part of the core sound. I was quite disappointed with this, but there is a work-around, although a painful one.
Create a song entirely on the Tyros. It can be very short—just one note long if you like—but at the first of that song, press the panel buttons to call up the sounds you want for each of the voices you want. Save that to a USB drive and then load it into Sonar.
Now your Sonar MIDI file will have all the Sysex commands to create the sounds as you hear them on the Tyros.
A lot of sounds, like the concert guitar, piano, strings, etc. should sound fine without all this trouble. It is mainly the electric guitar sounds and a few others that depend heavily on the panel effects.
A few notes:
• If there is a style with the sounds you want, that is a quick way to create the song. You may even know how to change the sounds in a style.
• Be sure you know how to turn local control off and on. ON when you create your song. OFF when you use Sonar. Sonar will probably turn Local OFF for you when it starts.
• If you have Sonar running and connected to the Tyros, the Tyros will probably not play normally.
• If the Tyros plays back weird sounds when controlled by Sonar, turn it off and on. Sometimes if you go from Local/Tyros only to Sonar, the Tyros gets confused. I feared a bad hardware problem at first, but it was just a communication issue.
• I think I read that you can only use the DSP effects on a limited number of sounds at once, but that has never been a problem for me. As I said above, there are only a few sounds that need those to sound right.
I was frustrated and disappointed by this when I bought the Tyros 2 as it was quite expensive. However, since most sounds work fine without all this hassle, it has turned out to be a good unit. I do think Yamaha should make this keyboard more sequencer-friendly if they are going to keep producing it. They should be able to do a software update to improve things.
By the way, I was also disappointed to learn how hard it is to create a style from scratch, but I like other things about this keyboard.
Good luck.
EDIT: One last thing. You may find it easier sometimes to use the "naked" Tyros sound and use plug-ins in Sonar (like Guitar Rig) to do the processing. The core samples in the Tyros are good and even though I have some huge sample libraries, I still use the Tyros 2 often.