From the help menu:

SONAR supports two different MIDI file formats, MIDI Format 0 and MIDI Format 1.

Format 0 MIDI files contain a single track, with all events stored in that track.

Format 1 MIDI files can store up to 7256 tracks, just like SONAR project files.

When you load a MIDI Format 0 file, SONAR splits it into 16 separate tracks, based on the MIDI channels assigned to each event.

When you save a project to a MIDI Format 0 file, SONAR collapses MIDI information from all of its tracks into one single track.

So, please export to MIDI 1 format. So that when you import the MIDI file in Pro Tool or other sequencer software, all the MIDI data is separated into designated tracks and channels.