They're telling you the truth, jon: there is simply no place to put user-defined metadata into a PCM wave file. The track information that shows up on your CD player isn't in the wave files themselves, but rather in a separate file on the CD.
Music distributed to radio stations is normally AAC encoded, not wave files. AAC, like MP3, supports metadata. It's also the standard format for iTunes and YouTube. Winamp, I believe, includes an AAC encoder. SONAR itself does not. However, an external encoder can be configured to allow SONAR to export AAC directly.
FLAC is another option. SONAR can export FLAC files natively. FLAC supports metadata, and has the added benefit of being lossless, which makes it more suitable for transmitting to, say, a mastering or mixing engineer or a musical collaborator. Many music-hosting sites will accept FLAC uploads, including BandCamp.