What you are doing is dragging FX to a clip. Sonar X1 has clip FX bins as well as track FX bins. If you want the FX to be in the track FX bin you can do that in one of two ways. Right click on the track FX and select an FX to place there or you can drag an FX from the browser to the track FX bin.
If you want to place FX in a clip you do it the same ways as above except you do so in the first instance by right clicking on the clip FX bin.
They are two different places and effect things in different ways. A clip FX only effect the clip it is on. A track FX effects all clips on a track.