Okay I feel super stupid because now ctrl+z is staying in the Melodyne window. So maybe I accientally gave Sonar focus for some reason? Just I could have sworn that I was in the middle of chopping up a vocal, didn't like the adjustment I had just made, and ctrl+z went to Sonar rather than Melodyne.
I guess if that is really what happened there isn't a good solution because Sonar can't "know" the undo states of plugins. (Though it would be AMAZING if Melodyne-like functionality was *part* of Sonar itself!)