I am fairly sure that the IN button merely shows you what is going INto the compressor - as a visual aid to then show you what the OUT signal looks like. It is not doing pre-compression at this point.
If you wanted to use a compressor to record your stuff, I think you are still better served using the compressor as a track insert and using Sonar's input monitorring to hear the effect back as you record it.
This method also has the advantage of being non-destructive, ie. the track that will be recorded won't have the compression settings actually applied until you choose the APPLY EFFECTS TO TRACK button in the PROCESS menu (from memory).
If you have a hardware console, then you would be able to route an actual hardware compressor into the input track which would then record a true compressed signal directly into Sonar.
If you have a somewhat sexy sound card, sometimes these compression features are built into their virtual mixer, eg. Aardvark DirectPro 24/96.
Ciao,
Q.