Yes,
Uncheck the MS Wavetable Output and CHECK the Focusrite MIDI Output. That way the MIDI out of the Focusrite will trigger your external stuff. Since you have an actual audio interface, you don't need any Windows based audio sources.
I suspect its just track I/O settings. I get a delayed echo kind of sound when I turn on echo for a track and have the audio input selected at the same time. It's just that you're monitoring the actual speaker output at the same time as the input, and there's slight delay between the two.
Your reported latency numbers from Sonar look really good by the way. Mine are much higher and everything sounds great.

BassRocket
Yes,
Uncheck the MS Wavetable Output and CHECK the Focusrite MIDI Output. That way the MIDI out of the Focusrite will trigger your external stuff. Since you have an actual audio interface, you don't need any Windows based audio sources.
I suspect its just track I/O settings. I get a delayed echo kind of sound when I turn on echo for a track and have the audio input selected at the same time. It's just that you're monitoring the actual speaker output at the same time as the input, and there's slight delay between the two.
Your reported latency numbers from Sonar look really good by the way. Mine are much higher and everything sounds great.

That is almost solution. I made it as you said me. So then I finally had to set an effect and here it is. Sound is absolutely without latency. Thank you!

Thank you all guys, you found the solution again :)

Great. Common mistake is people are unaware that you use either Sonars fabulous VST instruments or your outboard hardware synths. You most certainly don't want to use Wavetable which I think only works with MME mode anyhow. MME mode is terrible for latency. 
Start exploring Sonars Soft synths you'll never use outboard gear again and then it's much easier to play with new sounds once you record a midi track.