My first thought would be to check you have input monitoring selected in the track where you have TH2 loaded. Lots of areas to look at without more info. Are the meters moving in TH2? Are they moving in Sonar? How are you connecting your guitar? If it's working in stand alone mode then I'd start double checking your routing in Sonar too! Not just file locations. But hopefully it's just the click of one button.
Hope that helps,
Matt
Sonar Platinum - VS-100 - Windows 10 x64 - i7 2600