The Audio Playback volume (p.56/57 reference doc) must be changed manually and the setting isn't saved across power OFF/ON cycles nor can it be saved with a performance.

There have been IdeaScale submissions suggesting that it be 1) stored with the performance and 2) adjustable/saved with an audio Live Set entry but there has been no action on that.

That applies to the new Montage M models as well as of OS 2.01

See Idea #2756 which also refers to previous submissions:

https://yamahasynth.ideascale.com/c/yamahasynth/idea/164506