Hello,
since 1993 I am using Cakewalk and always whenI pushed the "W" button the project returned to the start and stopped.
Since 2 or 3 month it jumps back but starts automatically Playback or Recording, depending on what have you done.
To stop the project you have to push the "Space Bar".
Since yesterdays upgrade (2019-12) the Synth (I tried Dimension and Kontakt) play still the last Notes.
I can only stop with the "MIDI-Audio Reset".
I checked with my old Sonar 3
There's this, but it's a global setting (i.e., not per project).
ADDENDUM: You can bind a key to toggle the Click Behavior [Transport Seeking Stops Playback] on and off. I tested it with "Z." So if W rewinds and continues playing, I can change that behavior by invoking Z.