Hi,
In the Rate section of the sequencer, make sure you have selected Sync in the drop down menu.
The effect you describe on the LFO might be because the sequencer is on free running while the LFO rate is Synced to the BPM. If you have selected Mono KBD as the Reset Source, then each new note of the sequencer will reset the LFO to it's initial state. In that configuration, if you increase the BPM, you only increase the rate of the LFO so it goes to a higher amplitude before it gets reseted by the fixed rate sequencer.
Anyway, if you click on the drop down under the Rate knob you open a pop-up called Rate Type which allows you to sync the sequencer to the BPM.
Cheers