x2 turns midi local control off??

It is one of those things that Sonar have decided to do automatically when you start Sonar. Here is the info from page 232 from the X2 ref manual

Local control

You should normally disable the Local Control setting on your master keyboard to prevent notes from being doubled when you play your keyboard. If you disable Local Control, your keyboard sends notes that you play to SONAR, which echoes them to the synthesizer, which plays them only once.

When SONAR starts, you can have it send a special MIDI message that attempts to disable Local Control automatically. Most modern synthesizers respond to this message. If yours does not, you will need to disable Local Control every time you turn it on for use with SONAR.

 To automatically disable all local control whenever you launch SONAR

1.  In the directory where SONAR is installed, double-click on the TTSseq.ini file to open it.
2.  In the  [Options] section, add the line:
SendLocalOff=1
3.  Save the file and close it.
4.  When you launch SONAR, it automatically sends a Local Off message to your keyboard.
Note: Not all keyboards respond to Local Off messages. 

You need to change the SendLocalOff value to 0 instead.

This used to annoy me as well. I think as long as you do know that you will get note doubling being on a track routed back to itself. You can also stop it by simply not using midi thru mode. You can still hear your synth (due to local control being ON) and record its output midi data. 

If you are using that same synth to control other synths or VST's then you need local control off so you don't hear it but that is a time to do it manually.

thank you for your explanation based on that
 i'll live with it and manually turn local  control on when i need it for now as i am just getting started using sonar


i also found this page helpful regarding midi thru mode ( Input Echo button )
Cakewalk - Documentation & Help - SONAR X2 - Controlling live MIDI playback—MIDI echo

as well as other possibilities

i'll also redownload the manual  i misplaced it

If you open up a MIDI monitor alongside Sonar X2, launch X2 and you'll see it sending a Local Off message over all 16 MIDI channels; even with no entries in TTSSEQ.INI [Options].
 
Bx 7A 00 (with x being MIDI Channels 0 through F)
 
Check page 1299 of the Reference Manual for an [Option] to send Local On messages upon exit.
By the way, Sonar also sends 16 MIDI Channels of sustain switch resets on exit by default.
 
Bx 40 00 (with x being MIDI Channels 0 through F)

Sonar 8.5 behaves identically (as described above).  I agree; I use a lot of hardware through a MIDI router, and I don't need any decisions made for me.  I started watching all of this when I was troubleshooting Project5.  256 MIDI reset messages sent with many processes or mouse clicks.  I wonder why it 'glitched'.

As I suspected the fact that the message not being there at all in the TTSSEQ.INI file is not enough to prevent Local control being turned off hence not enough to stop it. The actual line must be in that file saying so then it wont happen.