Welcome to the forum!

Out of the blue, while I'm playing, the piano sound (volume) gets quieter—both through the external speakers and the headphones.

Sorry to hear you are having problems. But in order to get help you need to give us the details about what you are doing.

1. Has the instrument ever worked normally?

2. Do you have any other devices (midi, usb) plugged into the instrument that you are using?

3. What preset performance are you using? We can examine it to see what programming it contains that could be related to your issue.

4. What are you playing when it happens? chords, single notes?

5. Are you using any pedals (sustain, foot controller)? If so, which ones? What jacks do you have them plugged into? Were you using them when the problem occurred?

6. Were you using the super knob, assign knobs or sliders when the problem occurs?

Short answer - unless the instrument is broken everything that happens is because it was programmed to happen.

Possible causes: mod wheel got moved and it is controlling volume, motion sequence(s) is active and it is controlling volume, one or more control assignments are in effect for one or more controllers (sliders, knobs, super knob, pedals) and they are controlling volume.

The more info you provide the easier it will be to help.

I would look at all of the MIDI data with a PC connected with USB or an adapter of some sort to the 5 pin DIN connector.   And when the volume decreases stop capturing the MIDI data.  Then look back through the log starting with the last logs and look for any CC or SysEx activity you don't expect.

This would rule out controllers (expression pedal, assignable knobs, Superknob, mod wheel, sliders) from contributing.   Of course if you have expression pedals connected then disconnecting these would help rule them out too but just looking at the logs covers them and other sources that you can't disconnect.

If nothing is found (there's no movement of various controllers) then we would start to suspect DAC or other output stage electronics.

If you rule out the controllers and start to suspect the device itself then it would be good to think about if your purchase date is within the warranty period of the combination of Yamaha's policy and any additional coverage you may have (Sweetwater has some kind of additional coverage and there's 3rd party coverage some folks opt for - none of this may apply to you).   And if under warranty then the next steps would be fairly clear after ruling out user error: ideally exchange at the retailer and less ideal would be a service event.

In the past the instrument was working just fine. The keyboard is connected to a direct box that connects to a mixer. I played chords when this happens and I use a sustain pedal. I don't remember the name of the preset performance but I most use the basics preset, I think is the CFX piano and others that I created with piano and pads. And I don't use the knob when this happens. 

Please post back when you have all of the info that was ask for.

You haven't provided ANY info about the configuration, cabling, what 'direct box' you refer to or what it is being used for, what 'mixer' you refer to or what it is being used for or any info about the performance.

The odds of finding the cause will be greatly improved if you can reproduce the problem. And they will improve further if you can reproduce the problem without using ANY external devices or cabling to them.

Next time the problem occurs make some notes as to what was going on at the time.

It was mentioned the problem occurs through headphones which rules out the direct box and mixer in my opinion.

If this isn't MIDI related like a controller moving (properly or not), MIDI loop, other conflicts, or a dropout issue due to polyphony ("excessive sustain" - tons of double strikes and flurries of notes with the pedal held down the whole time)  then when using headphones and stock performances I would start to focus the gaze on hardware.

Not sure because the sustain mention is interesting.