You're sure you have Patch remain set on (in the System Ssettings)? Here's the spiel from the parameter reference docs:

Patch Remain (Patch remain switch)
Specifies whether you want the notes that are sounding to remain (ON) or turn off (OFF) when you select a new Patch or Rhythm Set.

* Effects settings change as soon as you switch to a new Patch or Rhythm Set, without being influenced by the Patch Remain setting. Because of this, certain effects settings can cause notes that were until then sounding to no longer be heard, even though Patch Remain has been set to on.