You must install and configure the FOSUserBundle because SonataUserBundle is a bundle for integrate FOSUserBundle into a SonataProject.
You can read this installation doc for understand : SonataUserBundle Install
Did you notice the FosUserBundle into your AppKernel.php file like this :
public function registerbundles()
{
return array(
new Sonata\CoreBundle\SonataCoreBundle(),
new Sonata\BlockBundle\SonataBlockBundle(),
new Sonata\EasyExtendsBundle\SonataEasyExtendsBundle(),
// ...
// You have 2 options to initialize the SonataUserBundle in your AppKernel,
// you can select which bundle SonataUserBundle extends
// Most of the cases, you'll want to extend FOSUserBundle though ;)
// extend the ``FOSUserBundle``
new FOS\UserBundle\FOSUserBundle(),
new Sonata\UserBundle\SonataUserBundle('FOSUserBundle'),
// OR
// the bundle will NOT extend ``FOSUserBundle``
new Sonata\UserBundle\SonataUserBundle(),
// ...
);
}