Hi there.
If you go into Edit>Preferences>Project>Midi take the check off the box that says "Zero Controllers When Play Stops", and Cakewalk will stop putting those back to zero.
Please note that this is a 'per project' setting, and if you want that to be set for ALL new projects, then you want to edit any project templates you use in Sonar (Normal, etc), so that the box is not checked - then either save as a new template or overwrite the original template to preserve that altered behavior for new projects.
I hope the above makes sense,
Bob Bone