I am a little confused by your explanation on why you want to monitor before recording the midi.
I understand that adding effects changes how you play notes, as you shape the placement of attack on the processed signal through the effects, so that as you used in example a delay, that when you hit the next notes on your keyboard are going to be subjectively done based on you listening to the processed sound with the applied exxect.
I hope I explained that so that it makes sense.
If the above is correct, then by adding effects into the FX bin for the audio track, those are not actually recorded - just the synth signal from your keyboard is actually recorded, but you still get to hear the sound as you are playing combined with any effects that were added to the FX bin.
That is one of the brilliant things about recording just the raw unprocessed signal, same goes for guitars that use Guitar Rig as an FX bin effect - you can change presets all you want after the fact, for you that would be effects (or you could actually run the keyboard signal through an amp modeler like Guitar Rig too).
It is only on final mix that Sonar would permanently apply any effects to that audio, on its way eventually a mixed master.
I hope I said anything that 1) makes sense, 2) matters, and 3) helps.
Bob Bone