You defiantly want to start a project with MIDI a few measures in. It isn't a Sonar issue, its just the fact that synths and midi controlled FX units need to have enough time to respond to banks/patch changes, controller initialization, and any sysex messages in order to set themselves up for a project. Also, the extra measures let midi hardware settle into consistently tracking Midi timing messages.
For instance, my Blofeld needs at least one measure to sync up its arpeggiator to the external midi clock. If I start sending note on messages at time 0, the first few notes generated by the arpeggiator will lag, then catch up to the external midi clock.
But it would be nice to offset the timeline so that you can start a number of measures in, but have the measure/beat start counting at 01:01:00. It makes it easier for musicians to locate the song position on sheet music, which always starts at measure 1.
Just simply allowing for an offset to be applied (say entering -02:01:00) by the user would work great. Having this settable independently for each method of counting (musical, smpte, samples, etc) would be fantastic. Something like that in, say the project preferences, would work great. I'd be in love if it can be applied to screen sets. :)