Our presets install by default to the following file directory:
%USERPROFILE%\AppData\Roaming\VST3 Presets\Plugin Alliance\
%USERPROFILE%\Documents\Pro Tools\Plug-In Settings\
In Cakewalk Sonar, the menu at the top left is not meant to open the third-party presets; it's a SONAR-specific bank to which you can make changes and save.
For example, I loaded the Lindell TE-100 EQ and used the VST3 menu to load a preset from the file browser. I modified those presets to taste, but instead of saving that and overwriting the preset, you can use SONAR's preset menu on the top left by double-clicking and adding a name, then clicking the save button. Now, each time you see the plugin, you will have quick access via that drop-down menu.