In detail, here is my problem with running Cakewalk under XP. There are two types of hardware device drivers in Windows. Starting about the time Windows ME came out, Microsoft switched to a type of driver called WDM (Windows Driver Model) which replaced an older type called MME. The new drivers are supposedly more robust, and easier to write. Since I don't write drivers I'll just take Microsoft's word for that.
In theroy, Windows XP offers some support for the older type of drivers. In practice, it needs newer WDM drivers that are written for XP or Win2000.
Cakewalk 9 was written for the Windows 9X family of operating systems. It does not support WDM drivers. So if you are running Windows XP and if your sound card does not have XP drivers that support the older MME standard it's a BIG SORRY. As far as I can tell this is the only problem with running it under Win XP. Sonar on the other hand will support either type of driver, and in general was written to work best under Windows 2000 and XP.
In my case, I run two audio systems. My primary one runs Win98SE, and uses Cakewalk 9 and a Gadget Labs sound card which has no XP drivers (the company is out of business and never wrote them). My other system uses an Audiophile 2496 card under Windows XP. I installed Cakewalk 9 on that system hoping I could do some work work on my Cakewalk projects there. But it turns out that the XP drivers for the Audiophile have an interesting trait - they will work in MME "mode" only as a 16 bit card. So if I set the card as a 16 bit card, it works fine in Cakewalk. If I set it up as a 24 bit card, it then disappears from Cakewalk's list of available audio devices.
In contrast, under Windows 98 the Audiophile works fine under Cakewalk as either a 16 or 24 bit card. And when using Sonar the Audiophile works fine too.
The general rule of thumb with XP is the newer the hardware & software, the better the chance that it will work perfectly.