I've also noticed that you can't hear any ships that are very close to at the sonar station, unless you point the hydrophone in their general direction, of course. When you're in the command room you hear them, and can even hear in what direction they are. I would have like to hear this while manning the sonar also, so that I don't get completely surprised while tracking another contact.
But I guess this is a semi-buggy feature. The sonar man's headset is completely airtight, so he can't hear anything that's going on around him...