claudiu, as you are recording on the inbuilt sequencer, it is almost certainly resetting each track back to its GS (most likely as its a roland) state via a file header...check in your manual for GS (or GM) reset..i find with roland manuals its quicker to use the index and just look for GS or GM..this should explain how to disable the automatic insertion of this sysex data.the information will also probably be in the recording parts of the sequencer section...just a thought, and i hope it helps.
dennis