I’ve never used OMF, but I believe it is “similar” to a bundle file in that it contains all the audio data, time codes, alignment, etc. However, I don’t believe it keeps information on plug-ins, plug-in settings, midi, etc. It’s a way to exchange multi-track audio projects between different platforms – fairly rudimentary, I believe, but better than exporting individual wave files for each track.
When I said earlier don’t go all the way to Export > Audio, I was simply referring to where the OMF export command appears on the Sonar menu. It has nothing to do with the audio being included or not. The menu structure is just Export > OMF.