This is a limitation of Cakewalk and Sonar's midi engine. All incoming midi channels will be routed through the selected midi track. Don't worry- the tracks will record and playback on the proper tracks (as long as you designated the corresponding midi channel on input of each track). This is merely a playback-while-recording problem.

The workaround for this is to go into Options - Project - Midi Input, and change Echo Mode to none. Make sure each track's input and output is assigned to a different midi channel. You should be able to record multiple midi tracks just fine now.