Sonic is a beast. I have much sympathy for anyone owing them money. I went through it last year and it was a nightmare.
Most payroll depts will not honor it but some will. At any rate it is Voluntary, thats the key word. So tell your payroll dept that you do not want them to send money.
When I was dealing with Sonic they never had anything on file about an assignment but they did say they were going to contact my Employer to see if "they wanted to work with them on it".
Yes it is illegal for them to divulge personal info. Nothing about Sonic is ethical or sympathetic. They want you to pay in full because they want you to keep reloaning with them.
You will get through this, hang in there and read the full Sonic thread.