I don't think MC's MIDI has a MIDI reverb effect anymore. You can add an audio reverb to a software synthesizer's audio output track, though.
When I started with MC 2003 9 years ago, there was a MIDI reverb. It was there in MC Pro 24, too, I think, but they dispensed with a lot of MIDI effects by the time I bought SONAR Home Studio 6.

The number of FX you can succesfully use for MIDI is limited, and the quality isn't that great.

It's more simple, it sounds better, and is more adjustable to put the FX on the audio output track or on the bounced/frozen audio track. That way you can have all the FX in same place which gives you a nicer workflow as well(there is no distortion for MIDI, for example).

Bounce the midi track to an audio track, and add reverb there

you can always put the AUDIO FX int eh synth audio track or bounce it to audio and apply the FX that way.

Ya know what they say?    "Great minds are better than Beautiful minds!"

That midi stuff in Sonar never worked and Cakewalk doesn't care about it either! You have to create a automation track that controls CC91!