As with the old Clone Track dialog and most other features (e.g. Insert Synth, Freeze), SONAR remembers the last options you used. So if you want "Events" to be checked by default, all you have to do is check it once and after that it will be your default.
Like Chuck, I'm more likely to duplicate a track's routing and effects without the data, so the default makes sense for me. But I completely agree with Fireberd: "duplicate" should mean "duplicate in full" by default.
Here's how I would handle it if I was part of CW's coder crew: add another option to the dialog: "always show options before duplicating tracks" and make that the default. That way, the first time you use the feature you'll be made aware that such options exist and what the defaults are, thus preventing confusion. I'd also add a "Duplicate" button to the dialog so that you can click through it and perform the operation from there (disabled if no tracks have been selected).
There's apparently also some confusion about track selection and focus, so I'd also add a label to the dialog showing how many tracks are about to be cloned. When they added that feature to the Delete dialog, it saved me from a few user errors.