This isn't a new issue but I reported it only recently. If you want to reproduce it, follow these steps:
(Note: I've just found a workaround. See the bottom of the post.)
 
1. Load the Normal project template.
2. Record something in the MIDI track.
3. Double-click the recorded MIDI clip to open the regular PRV (and click the [View] menu and disable "Show/Hide Controller Pane" if not disabled already.)
4. In the Track View, select "Notes" from the pull-down list in the track header so that you can see both the Inline PRV and the regular PRV (which you already opened).
5. In the Track View, click the [MIDI] menu and then enable both "Show Velocity" and "Show Velocity on Selected Notes" (if not enabled).
6. In the Inline PRV, if you lasso select some notes, the velocity bars of the notes that are not selected disappear, and if you deselect those notes, the velocity bars of all notes show up, as intended.
7. In the Track View, click the [MIDI] menu again and disable "Show Velocity" (because sometimes you don't want to see any velocity at all). The velocity bars disappear as intended.
8. Again, click the [MIDI] menu and re-enable "Show Velocity." (Note: Make sure "Show Velocity on Selected Notes" is still enabled)
9. Try Step 6 again. It works perfectly.
10. Now, let's move on to the regular PRV. Click the [Notes] menu and you'll find both the "Show Velocity" and "Show Velocity on Selected Notes only" options. Play with these options and lock screensets (if necessary) and save the project (if necessary) and restart Sonar (if necessary) to see what happens.
 
[Expected Results]
The "Show Velocity on Selected Notes only" option works as it does perfectly in the Inline PRV (although the option doesn't say "only" in the Inline PRV).
 
[Actual Results]
Too difficult to explain. It's just broken.
 
Reported on Dec 19, 2013
Confirmed and submitted to development on Dec 20, 2013
 
Workaround to have the option start working properly again:
Hit Shift+C twice (which shows and hides the Controller Pane).

I can reproduce this thanks...


NOTES ON THE STEPS.

2) To expand I inserted a MIDI source and first synth output thus creating two tracks (as soft synth wasn't specified).
3) Double clicked MIDI clip and unticked Show/Hide Controller Pane.
4) I did this on the MIDI clip

ACTUAL

I notice "Show Velocity" and "Show Velocity On Selected Note Only" behave like a toggle, this is NOT the case in track view (you can have both switched on so it's inconsistent).

Once you've turned on "Show Velocity", selected a few notes, deselected, then turned on "Show Velocity On Selected Notes Only", then "Show Velocity on Select Notes Only" ceases to work showing no velocity values.

Note this is reproducible whether show/hide controller pane is ticked or unticked in the PRV.

I can also confirm the workaround works.

According to Jlien X not fixed in X3E.

I was reading Noel's latest blog post on enhancements and fixes in SONAR 2015 and.......yes, this bug is fixed, and the regular PRV and Inline PRV show consistent behavior in terms of velocity display. Just wanted to say thank you, Bakers! 

+1 :)