Sounds like a problem with Sonar. Contact Cakewalk and see what's up.
Turns out the problem IS with Premiere. On the Sonar Forum, someone said to check Windows Task Manager to see if Premiere was running in the background after I exit, and it WAS!. Since it loaded some of Sonar's VSTs and DLLS (all VST-based effects), it must have been tieing them up so that Sonar couldn't use them because it was still running in the background. So, it looks like the problem is that Premiere doesn't exit properly, releasing all the resources. This is the most probable explanation of any I've gotten from this or the Sonar forum.
I had that same issue until I updated to 6.0.3.