Did you configure you Inputs & Outputs in VST Connections, oh looks like they renamed it Audio Connections in 9.5? If you didn’t then they don’t exist.
Take a look at the graphic here
Where it says “Stereo In” & Stereo Out" those are drop-down menus that let you select which inputs and outputs to use. The items shown in those menus will be what you defined as Inputs & Outputs in Audio Connections. If you aren’t seeing items mapped to your physical hardware, then it is not configured correctly.
If you want to have a track with midi & another with audio next to each other it doesn’t make any difference if you use a MIDI Track or an Instrument Track.
If the audio source is an external synth create an Audio Track and either a MIDI Track or an Instrument Track. Connect the synth’s audio out to inputs on your audio interface. Select that input as the source on your Audio Track. Then you can simultaneously record audio to the Audio Track and midi to the Instrument or MIDI Track. FYI the video linked above shows doing this using a MIDI Track - but it would be exactly the same using an Instrument Track.
If the audio source is a VSTi, then record your midi on either an Instrument or MIDI Track. Once that is done do a Render In Place which will create a new Audio Track with your audio on it.
I don’t know Sonar myself, but based on threads here from folks coming from Sonar the relationship between midi & audio in Sonar is conceptually pretty different than in Cubase. I gather in Sonar when you see midi & audio of that midi they are somehow connected to each other. In Cubase they are two entirely independant things - even though you may have used the midi to generate the audio.
Again I’d recommend that initially you just use Instrument Tracks, but if you insist on making your migration to Cubase more complicated than it needs to be for no good reason - then go for it.