Same problem here, I was hoping the recent update would fix this but it hasn't. I've reported it to technical support and to clarify for anyone else reading this:
1. Loading a previously saved Scene does NOT restore the track modes that were selected when the Scene was saved, contrary to the description in the manual:
Page 102: "A Scene also contains the mode for each track (Drum/Seq/Arp)."
2. Arps aren't saved after Power off - the manual states that they should be:
Page 102: "if one or more arpeggios are running in a hold state when you save the Scene, it/they too will become part of the stored Scene."
Page 103: "Scenes are saved in the KeyStep Pro's internal memory, so if you power down the KeyStep Pro OFF and then switch it back ON, your saved Scenes will still be there.”
(Firmware 1.2.6, Manual version 1.2 - 11 June 2020)