I've posted in the past about getting clipping on my PSR 2000 and then 3000 in loud midi-files; I would think this is a similar thing and is a facet of the way the internal processing operates and so is not a fault as such.

Whilst I noticed this issue just by listening, you can get some idea of the problem by recording the output of the keyboard (from the phono outputs) onto a PC. If possible set the record input on the PC so that the input level peaks at about -6db to avoid any possibility that you will clip the inputs of the PC soundcard. If you then look at the loud bits of the recorded waveform it is possible to see the "internal" clipping as flatlines. You can then adjust the mix levels on the keyboard to remove the clipping.