Mark, I've only have the demo tool, but I also experienced a little headache until I figured out what to do. As stated in the manual, if Sonar and Gigastudio are on the same machine, you *must* install MIDI Yoke. The enables 'talking' between Sonar, Gigastudio, and the performance tool. It opens eight (at least it did for me) new 'ports' for you to enable in Sonar.
Since I only had the demo version, the Legato function only worked on Port 1, Channel 1 and I only enabled MIDI Yoke NT: 1. I went to Track Properties, changed the Output to "MIDI Yoke NT: 1," loaded the Trombone Demo (.mid), hit play in Sonar and everything worked alright. It only took about five minutes and it worked even without restarting (after installing the Yoke "hardware" - you can tell I'm bad about that as I'm *still* typing on the same instance of XP [[;)]] ).
Hope that helps you figure it out.
Russell Cox