Like leeboy said, filtering out bank/program change will have no effect on the transmission of CC#7 (volume). However maybe the program control switch rb293 mentioned is some kind of combined filter that the Tyros has. Although I can't believe that the Tyros has no means of filtering individual MIDI controller messages. I'm sure someone around here has an owner's manual for a Tyros and can check that out.

On the other hand, if it turns out that the Tyros doesn't have the ability to filter CC#7 (and CC#4 which is MIDI Expression; I'll explain the difference if anybody is interested) then MIDI Solutions should have a device that will filter CC messages.