I don't have this problem with any of the Kontakt VSTIs, but the Psyn II synth is giving me grief. Here's the setup:

 
When I hit 'play,' however, the settings jump thus:

 
I'm sure it's something simple. It's keeping the same instrument number (47) but changing the bank.
I've screwed around with various settings. Now if I could just find the raw MIDI data and edit it in Sonar...