Welcome to Northern Sounds. There's several possibilities that might cause your trouble. My hunch lies in the modwheel.
Are you adjusting the modwheel data in the Kontakt Player interface? When you bounce, Sonar will only read the latest information that is stored in the MIDI track (recorded or drawn in). Perhaps there are lower (or no) CC1 or CC7 values in the tracks that you adjusted in the interface? Sonar has an option tucked under a MIDI tab under Options->Project that zeros controllers on playback. This will affect any adjustments you've made on the interface.
If it isn't that can you give us a description of your gain structure and signal flow? Maybe there's an effect inserted somewhere on the chain that is behaving badly.