Well, I think I got it ! Oh my.
In my MIDI sequence in Sonar, when displaying the event monitor, I create as much events as there are preset changes, and I map them with canals.
Canals are in fact equal to the (in Perform mode /!\) MIDI banks you'll have to pre-program.
The fact that each Channel is named "Bright acoustic piano" (Channel 0, first bank, first preset), or "French horn"... is beyond me and led me astray...
I'm going to try to program a bunch of presets...