UPDATE:
Hello everyone:
I need to update you on this issue.
I contacted Yamaha, I mean when you pay $4000 for a Keyboard someone better answer the phone.

Unfortunately, this issue has nothing to do with the Montage.
I was able to isolate the problem to the Roland Fantom XR and the Roland Integra 7.
I closed Sonar and connected the controller directly to the Modules, bypassing the MIDI interface and the problem persisted, confirming this had nothing to do with Sonar. I also tried a different controller and the problem persisted.
I contacted Roland this morning and was able to solve the problem on the Integra but still working on the Fantom.
The problem arises when the Channel After Touch is set to on on the Integra. Any patch played will have a Vibrato or pitch bend like effect. Luckily, this is a per channel function, not global, and so I was able to turn it off and the problem stopped on the Integra.
Importantly, this happens based on how hard you hit the keys, the harder you hit, the more it sounds vibrato like.
Now the same features are on the Fantom but I do not know how to turn this off, the guy from Roland was helping me but he did not know how to do it either and so he has promised to call back.
This has been dreadful for me, really killed my creativity.
On the Montage, I turned off the function to Transmit Channel After Touch but it does not work, you have to turn it off on the Part/channel in the Source Machine.
I will let you all know how things turn out.
Thanks everyone.