So now that I'm getting back into making music a bit (I had to take time off due to health reasons).  I really want to learn to use some of this super expensive orchestra stuff I have, in particular Hollywood strings and brass.
 
My first mission is Hollywood strings.  However, Sometimes when I load up a couple of different instruments (each in their own VST)  when I go to click on something else (say a different VST) and then come back, and the sound turns off.  Then once I reload the patch, it comes back.
 
Note this also happens even when I load the full patch into memory. 
 
Any ideas?

Check your controllers & see if they're being reset on playback.
http://www.cakewalk.com/Documentation?product=SONAR%20X2&language=3&help=Playback.33.html
 

In Sonar under Preferences:
Project: Midi
try:
unchecking: zero controllers when play stops

Also: don't neglect (like I did) to 'tweak' the Play Engine backend.

Also: There are a few excellent YouTube tutorials on setting up Hollywood Strings. (not the promo where they just demonstrate the samples) 

If they included 'Spaces' with your version, use it. It's a memory hog but just makes the already great samples come to life.

and don't think you're gonna learn this baby in an hour or two.     :)

Don't worry, I've allocated 3 hours :)