Sonar can only use VST plugs via a wrapper. Sonar v3.0 includes the wrapper with the product. Earlier versions needed a standalone wrapper (which can be purchased from Cakewalk).
Most of the effects bundled with Sonar (even though they are DX) are native to Sonar and are not made available to other programs. They do show up in my copy of Wavelab under the listing of DX plugins, but when you try to use them you get error messages.