OK, I think I've had some success - here's the rundown for others experiencing the same frustration (I've found a few posts around the internet on the same thing)...

I'm not great with MIDI stuff, but apparently it's something to do with what values are used to represent the sustain pedal controller commands. Here's the best thing to do:

1. Download MFX Sustain Fix from http://www.tencrazy.com/gadgets/mfx/ and install it.

2. Create the MIDI track for The Grand.

3. Right click in the effects bin and choose the Ten Crazy MIDI effect. When it opens up, choose the top two options.

4. Record the MIDI track as normal. When you export it to audio, it now works!

Like I said, I'm not well versed on MIDI stuff, so I'm not sure if the issue is with The Grand or Sonar or my keyboard, but this fix seems to work fine. I love the sound of The Grand - it's truly an exceptional piece of software.

Best luck to everyone,

Rewey