Some presets within a given soft synth seem to be tied to things like the mod wheel for volume, or other weirdness, and these particular presets often behave quite weirdly when the Sonar Zero All Controllers option is checked.
I have had similar behavior in some Reaktor patches, and also have had PITCH for some reason tied to mod wheel for one factory preset for Reaktor, which with the Zero All Controllers option set would play fine on first project load and play, but then after stopping the song, the pitch of my Reaktor preset would drop by a whole step. This drove me NUTS, til I figured it out.
In addition, some of the Native Instruments synths have the master volume setting also tied to react to CC 7 changes, which means that MIDI fader changes changed the plugin master volume - another one that drove me nuts.
Soooo, those above scenarios apply to different software, but illustrate some of the crazy behaviors out there in plugins.
Hope any of the above helps,
Bob Bone