I think the solo button issue may well depend on how you are routing headphone mixes.
If I'm tracking a band/artist I usually have a couple of different headphone (cue) mixes. Each track within Sonar has a pre-fader send on it one to Cue Mix A, another to Cue Mix B.
Cue Mix A & Cue Mix B are two Sonar busses that have their output set to two different stereo pairs on my mixer (a ZED-R16). That in turn has each channels two pre-fader aux sends assigned to the ZEDs pair of studio outs which each feed a separate channel on the headphone amp.
That way each set of headphones can be assigned to either mix, and each mix can be a mix of tracks coming back from Sonar and any live tracking tracks. It's not really possible to set up a cue mix without additional outputs on your interface.
In the scenario above soloing instruments within Sonar does not affect the cue mixes at all.