fret_man
What's the disadvantage of not zeroing out the controllers in Options?

When you have zero out the controllers Sonar will rest the controllers to their last setting prior to starting.  So if you have a pitch bend set to zero prior to when you are going to start your playback then pitch bend will be zero, regardless of what it was when you stopped the song. 
 
If you disable zeroing out the controllers and you stop a song with the pitch bend at +6 the restart will be starting at +6 even though a beat before the restart was a pitch bend set to zero. In other words the restart will have controllers set at the same setting as when you stopped.  Pitch bend was just an example as all of the controllers will work the same.
 
I hope this isn't confusing to you.