I'm having this problem too. I had a similar problem a while back, and discovered that the Keystep Pro didn't like me holding Save + Scene + number. I had to do Save + Scene, then release, then hit a number. This fixed my issue a few months ago.
However, I have this issue again now, and I can't get around it. The Pro won't save my patterns to a scene. It saves the patterns for parts 1 and 4, in my case, but not for part 3. I've reset the unit (power off and on again), but that hasn't fixed it.
I might try a different project next, and copy>paste my patterns into it.