Instruments in GPO (
and lots of other VST instruments) respond to cc7 (volume) and cc11 (expression).
cc11 controls timbre and also affects volume.
Actually the option is
"Zero Controllers When Play Stops", under the
Project -> MIDI -> tab, under the
"Other Options" heading.
I have to totally disagree that you should turn this setting off at all,
it should be turned ON (checked), not Off.

And for a very good reasons, which go beyond just this volume issue.
BUT ... you also need to do TWO more things.
Ahh, sorry, just remembered ...
THREE more things. 1) Set the
"Patch/Controller Searchback Before Play Starts" option to ON (Checked) - this option is also under the "Other Options" heading
on the same page.
2)
These are "Project Options", so you need to have a project open to see/alter them. Which means you should
save these setting to your templates. If you use several templates, you should edit the preferences and re-save them.
If you don't save them to your templates, they won't persist across projects and you'll need to set them for every new project.
3) In all your projects, wherever you use ANY instrument that responds to cc11 / cc7, you should explicitely set them at the beginning of every midi track.
Actually, you should probably be driving the instrument's expression with cc11 anyway - try it and see for yourself what it does.
Now, whenever you stop the transport, the controllers will Zero.
And when you start again from anywhere on the timeline, Sonar will search backward in the timeline and set the Midi controllers
to the last value which was set before the point you are now starting from.
So the instrument will always sound correct, no matter where in the timeline you start from.
And then the other reason ... it applies to patch changes too. So any tracks that have patch changes on them, will have the
correct patch loaded no matter where you start from on the timeline.
Hope that all makes sense and helps someone.
Cheers - Cliff