When you switch modes or scenes, the sounds do not change, but once you change the faders and go back to the original mode/scene, the "real" position no longer matches the "virtual" faders. In pretty much all midi hardware/software setups there is something you'll see that refers to absolute and relative positions, or sometimes called jump or pickup or something like this, allowing you to choose one. This is covered in the Keylab manual, but the idea is that if ups move the fader in one mode, it'll "jump" the virtual fader to match, causing a possibly abrupt change in the sound. The other mode allows you to move the fader til it matches the virtual position, avoiding that abrupt change.
This is a standard issue in MIDI control and one we all deal with. Arturia's is a pretty good solution to it.