The most recent article on MONTAGifying Motif XF Performances goes over exactly this point
MONTAGifying “Smooth It Over” - A Motif XF Conversion

You can edit, change and store information memorized in each Scene as follows:

From the [HOME] screen
Touch “Scene” in the first column to view the Scene Memory area.
The currently selected Scene will appear in blue along the top (and its Blue front panel button will be lit).
If a MEMORY is ON for a parameter area, that set of parameters are recalled when the Scene is recalled.
If the MEMORY is OFF for a parameter area, the last settings for the parameters persist (remain).

Please see the above article because it will delve into how you can selectively memorize items per Scene.

If you want to undo or deactivate an item memorized in a Scene, simply recall that Scene, Set the Memory Switch for the parameter area to OFF.
That’s it, done. Changes made on the SCENE MEMORY screen are immediate and are a reflection of what is currently stored in each Scene.

There's a few places to go wrong. Make sure you've turned ON all the scene categories you want to save. If all are turned OFF (as in the below picture) - then the scene button will remain OFF (not dimly blue, not brightly blue) after pressing SHIFT+SCENE#. Turning all categories OFF is how you wipe out (erase) a scene.

And yes, after you press SHIFT+SCENE( 1-8 ), you need to [STORE] your Performance in order to save the scene changes. Setting the scene using SHIFT+SCENE# does not save anything.

Forgot to add the image:

Just a point of order: use [SHIFT] + [SCENE x] to update a previously stored Scene when executing an on-the-fly change operation
Use the method I described, that is, editing the SCENE MEMORY page directly, to create your Scenes. While in the Scene Memory area changes are immediately documented to the current Scene.

All changes must be ultimately Stored to the Performance... there is a methodology to follow: Return the Performance status to the exact condition you want to be recalled when the program is recalled, then press [STORE] to lock in this Start condition to your Performance data.

... historical thread on scenes:

https://yamahasynth.com/forum/20562-modifying-scenes