This is a REALLY old thread.
 
However, just so you know, in Sonar Platinum (and I assume in Artist and Professional), you can do this by:

• Select the tracks (all only audio or all only MIDI) that you wish to insert the plugin
• Press and hold the CTRL key for the following steps
• Right-click in the effects bin in one of the selected tracks to bring up the context menu
• Insert the desired effect using the context menu
• Release the CTRL key

The desired effect will be placed in each of the selected tracks effect bin.
 
Note, deleting an effect using the same sequence does NOT delete all the effects from the selected tracks.
 
Hope this helps,
Paul