If you look at some of the differences between just the regular versions of Sonar and HS2002, (and they stick out in my mind cause I just upgraded from HS2002XL to regular Sonar2.2),:
HS2002 is limited to 16 realtime FX, which was no big deal to me, I'm a simple country songwriter and the 16 limit usually was more than I needed.
HS2002 doesn't allow for effects animation and envelopes or the basic FX's that come with HS2002 don't have the hooks that allow for it.
HS2002 midi implimentation isn't as intense in functions, specially considering drum mapping which is cool if you have tons of drum samples like I do and could never keep organized. But for what I do HS2002 midi is plenty powerful.
HS2002 doesn't have the Cyclone DXi which I haven't even explored yet but it looks interesting
HS2002 file management isn't as slick as that in Sonar2.2. I feel much more better knowin all those data files are appropriately kept in a directory under the project I'm working on and easily and safely backed up, identified and named and got rid of when I want to take a project of of my drive rather than being lumped with somewhat chaotic naming in one huge directory constantly keeping me worrying about running a defrag operation.
Of course if you wisely let the the clean audio function in HS2002 take care of that for you it was never a real big deal. It's just that with Sonar2.2 I have a much simpler and quicker mental image of the shape of my drives.
I think the basic effects that come with Sonar2.2, ie.. fxeq, fxchorus, fxreverb, etc are much better sounding and flexible than the counterparts offered in HS2002.
As far as the XL versions:
HS2002XL came with CakeFX1, the compressor, noisegate and expander and such. I had also dropped the bucks on the FX2, tape sim (which I love) and amp sim (which ain't my fav) and FX3, the FXSoundstage which is killer to me.
SonarXL comes with the Timeworks Mastering effects which I tried a demo of and they are great. I think I've read where some places like Musician's Friend? are also offering the PSP Vintage Warmer with it.
If memory serves me right, other than the Cyclone DXi you basically end up with the same set of softsynths in HSXL and SonarXL.
I guess it's a matter of what you need and how much you want to spend. The upgrade from Music Creator to HS2002XL was a mere $79. From there to Sonar2.2... $199 and Sonar2.2 Xl... $299