Hello mick,
This is normal: Trinity (nor Triton) doesn't save effects settings in SMF files. You have to dump themp via an external sequencer (as you just did).
It could be interesting to write a SNG->SMF with IFX/MFX sysex (for Trinity and/or Triton). I don't have to write it now (I'm busy on Alchemist, a Trinity to Triton PCG/SNG converter), but can do that later (in some months).
Regards,
Xavier.
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Regards,
Xavier
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Alchemist - the Korg Trinity to Triton PCG and SNG converter -
http://alchemist.sourceforge.net