You can know for sure what gets stored in each Scene by learning to read the dedicated SCENE screen... which you will be able to do after this post.

Press [SHIFT] + [SCENE] button does document the Scene conditions, if the MEMORY switch for that parameter is active.
The reasons why when coming back later and not having your settings saved could be several things...
1) you forgot to [STORE] the Performance... storing the Scene is one step, then storing the whole Performance is the next step.
2) if you did STORE the Performance and Scene changes seem not to be taking place, you’ll know to review the dedicated SCENE screen to see exactly why. (Discussed in detail below).

Midi data persists.
That is a basic rule. It’s like a Newtonian Law of physics. What it means is when you change a MIDI setting, say Volume, to a value of 112... it will stay at that setting until acted upon by another setting telling it to go to another value. If you don’t store any Volume setting for Scene 1, but store Scene 2 at Volume 112. When you select Scene 2, it will stay at 112 until it gets another command for Volume. If no specific Volume value is stored in Scene 3, it will remain at 112. If Scene 4 is stored at 123... selecting Scene 4 will execute volume 123. Now go back to Scene 3, the one with no stored value for Volume, Scene 3 will now remain at 123. The last volume value it received...

Scene 3 having the MEMORY switch for memorizing Volume OFF, will simply inherit the current value... MIDI data persists.

The following taken from a previous post........................ discusses how to review your Scene Memories.

Likely if this was your first attempt at using Scenes, you missed the step where you activate the “memory” region. By setting the “Memory” On for a function allows the current setting to be memorized by the act of [SHIFT] + [SCENE] button 1-8.

SCENES
First, let's establish what a Scene can memorize, and what it doesn't. It has a MEMORY ON/OFF switch for each of the following functions:
Arp - the currently active Arp 1-8, if the main ArpSw is active
MS - the currently active Motion Seq, if the main MS Sw is active
Super Knob - the current position of the Super Knob
Mixing 1 - RevSend, VarSend, Dry Level, Pan, Volume
Mixing 2 - Cutoff, Resonance, FEG Depth, Mute
AEG - Attack, Decay, Sustain Release of the amplifier
Arp/MS FX 1/2 - offset to feel of Arps and Motion Sequences

From the [PERFORMANCE (HOME)] screen
Touch "Scene" to view the Scene Memory switches... if you, for example, want to memorize MUTE status, make sure you activate "Mixing 2" in each Scene you want document a Mute change from current status.

The SCENE Memory On/Off switches allow you to review your current Scenes. You can easily overthink these Scenes and without scaring anyone, when you start thinking of new things or you add a Part to your Performance, then you will start to understand why this is a recommended “best practice”.

Writing about Scenes and all the possibilities might only confuse folks further, you have to begin working with it to understand what gets remembered and when it is memorized. It is a creative tool. If you think there is only one way to use it, you’d be wrong.

If Scene 1 has Drum volume 100 in memory (meaning the Mixing Memory Switch is On), and Scene 8 has Drum volume set to 120 in memory (meaning its Mixing Memory Switch is On)... but the Mixing Memory Switches are Off on the other Scenes... selecting Scene 1 and moving to Scene 2, the Drums will be at volume 100, but selecting Scene 8 before moving to Scene 2, the Drums will inherit volume 120. (If no new command is received to change Volume, the last setting change persists (remains) until a new command for Volume is received.

If you attempt to STORE a Volume change for Drums in SCENE 2, and all you do is [SHIFT] + [SCENE 2] you will see that your volume change did not Store... you must make the “Mixing 1/Mixing 2” Memory Switch to ON.

I think in all the discussions I have with users they put too much emphasis on the act of [SHIFT] + [SCENE 1-8] as the method to STORE a Scene, and to be sure, it is one part of the method to accomplish this, but the act of turning ON the Memory Switch for a function is what allows the current value to be memorized. Turning ON the Memory Switch memorizes that function’s data immediately.

Great, thanks for the prompt help BadMIster, really appreciated!