Thank you for contacting support and I am happy to help you.
 
Our presets install by default to the following file directory:
 
Windows:

%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 actually a SONAR specific bank that you can make changes and save to.
As an 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.

If you'd like some additional information on the menus and plugin layouts within SONAR, please contact Cakewalk as their very knowledgable team can better assist you in this particular matter.