I think I may just ditch the TTS1 and find another synth.
That's an option, however, I like the TTS-1. Its a multi-timbral, General MIDI synth and has some really good sounds. I use it a lot and I don't have any problems with it holding my settings.
How are you changing the volume; on the TTS-1 or on the MIDI track?
Make sure you don't have more than one track using the same MIDI channel or they will override each other.