As I understand it, a .cda file does not actually contain any audio data -- it's just an index that tells the computer where to read the music from the CD. There is nothing in it for Sonic Visualiser to read (unless SV were to include code for direct access to CD drives, which it does not; it just loads files from the filesystem).
You need to use a CD ripper program to read the audio data from the CD and encode it into a file in a format that SV can load, such as WAV.
Chris