Sonar does not save the "name" of any pre-sets that you use, but it does save the settings. In other words, if you put a reverb on a track and then choose "medium room" as the type of reverb. When you close and reopen the file, it will no longer say "medium room" in the preset name window. However, the reverb settings (density, decay time, etc.) should still be those for medium room.
I have always wished it would save the name as well, so that you could tell what presets you have used. I guess it makes sense that it doesn't though, since if you had adjusted any of the parameters, it wouldn't really be the preset that you chose.