This is a feature common also to other Yamaha Synths (like the Motif) and has been debated in other fora comparing the Motif with the Fantom.
My personal solution with this issue (I too own a Tyros 2 and a G-70) is to stop playing the first sound at an appropriate time before the change in registration to avoid the "tail-cut" effect or (if I foresee a change of registration at mid-song) to avoid the use of sounds that have a long release time, like swirling pads.
Another workaround could be to use OTS instead of registration: using different OTS with the same style apparently reduces this annoying effect.