Hi Barry,
that's a pretty typical behaviour, since if a closed MW closes the filter completely you wouldn't hear a thing. So Mod-Wheel closed (cc#1 = 0) tends to be the default sound setting, what is especially good when using a Roland Keyboard, since the Mod Wheel is spring loaded and resets to Zero automagically.
What exactly do you want to archive? I could imagine that you refer to synths that save the default setting together with their presets.
...Summa