No, there will not be an episode 41 of Sonic Underground.
However, the series is going to get an epilogue in the comic book Sonic Universe, #50. It's estimated release date is in March 2013.
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Sonia and manic were created for sonic underground specifically and will not appear in any later shows or games. Sonic x and sonic underground follow entirely different cannons and plots. His medallion was also created only for the underground show. The resistence, the medallion, Sonia and manic never existed in sonic x, and never did exist anywhere besides underground. Since underground was cancelled, we will most likely not hear from them again.
She Appears in episode 39 of sonic x near the end of the episode.
No
Actually no, but knuckles is.
Most people didn't like Sonic Underground so they cancelled it. Personaly, I liked Sonic Underground and still watch episodes on youtube. It is a shame they cancelled it. Because of this, Manic, Sonia, and Sonic never meet up with their mother, defeat Dr. Robotnick, or fulfill the prophosy.