Scenes do not utilize Program Change. The way instrument switching is accomplished is by activating and deactivating the MUTE function or by manipulating the output volume. You have a MUTE and a volume control that do get memorized in a Scene memory.

Scene memories remember the following settings:
Arp - the currently active Arp 1-8, for each Part, it also memorized if the main ArpSw is active or not
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 amplitude EG
Arp/MS FX 1/2 - offset to feel (swing) of Arps and Motion Sequences

Scenes are considered "snapshot" memory, the above parameter settings can be recalled. You can do this manually or you can record the Scene recall into your MIDI sequence data, to automate mixes. You can control which of eight arp phrases is playing for each of the eight available Arpeggiators. You can program the Arps to change at the top of the next measure line or immediately, you can program rests, you can program stops, it completely configurable.

In answer to Mike:
You can layer 8 parts. Which part is audible is defined by the mute button. (and the volume, and playing it / or arping it, and ....)
So if you set part 1 to an arpeggiated drum and part 2 to a base guitar and part 3 to an organ you have several options:

1) The overall "ARP ON/OFF" button determines whether any arp will be played. So it must be turned ON (this can also be stored per scene).

2) On the performance level the arp at part 1 is audible when the mute button of part one is off.
2a) You can switch on "ARP ON" and keep on pressing keys..
2b) You can switch on "ARP HOLD ON" and just press one key. It continues to play.
2c) You can switch on "ARP PLAY ONLY" so no other keys presses will activate.

Settings via: PERFORMANCE - Drum PART highlighted - EDIT - Arpeggio

Then you can do with the other parts whatever you like.
So lets create 3 scenes:
Scene 1: Drum ON (Arp Hold on), Base OFF, Organ OFF. When you press a key only the drum will be heard and continues to play.
Scene 2: Drum ON, Base ON (Arp Hold on), Organ OFF. While the drum continues you (or the arp) can play a baseline added to the sound.
Scene 3: All mute buttons off: The full band is playing at the same time at the same keys.

Then there are additional options:
Per scene you can change the arpeggiator. So the drum pattern can vary with each scene.
A good example of this is the "Imperial Jazz Trio" at the Bosendorf library. (Although this base doesn't have an arp.)

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In reply to Phil:

The "Mixing 2" block controls only the overall mute of the full 88 range.
But there is also a selective mute, defined by the key-range. Only keys within the defined range can be heard.
It would be GREAT if these key-range settings could be stored as well. In stead of / in addition to just muting the full 88 range.
I mean, as an example:
Scene 1: range C-1 to C-2 active.
Scene 2: range C-1 to C-4 active.
Scene 3: range C-3 to C-5 active.
It would make live playing much more flexible.
We've had that discussion before. My desire for this is still craving.

Thanks, to confirm- If I'm holding the notes of a part and change to another scene while holding the notes, and that part I'm holding the notes with is unchanged in the new scene, that part I'm holding keeps playing without audio cut off?

That depends. If the sound you are playing is set to be active in both Scenes then, Yes, you can play without disruption. If not then, No. If you MUTE a sound it is "muted" - immediately. The definition is clear. If you want to continue playing a sound across multiple Scenes keep it active. It's a no-brainer. The Super Knob can be used for transitioning sounds.

Understanding the parameters that are documented is the key to using Scene memory. Those with experience with digital mixers understand how settings changes - those typically that happen when the song goes from one section to the next - can be automated for a channel. Although often compared to being like a Program Change for mixer settings, it does not literally include any Program Change information.

Using the Mute function, a Scene can turn Off one channel, and turn On another channel. That is quite different from a MIDI Program Change. The Super Knob position can store one sound as sounding while another is silent, Scenes can store Super Knob position.

The Scene concept, was originally introduced on the first Yamaha DMP7 digital mixer (circa 1987) where you could send a message from your keyboard that would change the settings on your mixer. A TX816 (eight DX7 in a rack) could be completely remixed when a system Program Change button was sent.

Back then the digital mixer was a completely separate entity from the synth. The mixer supplied EQ, Effects, panning, and subjective volume changes... In the years since, much of the functions found external to the synth, are now built into the synthesizer... Montage has a 3-band EQ pre the two Insertion Effects per Part, and each has a 2-band EQ immediately post the Insertion a Effects... Per Part!

So expanding the Scene snapshot memory to include synth parameter settings, as well as mixer settings, was a natural progression for Yamaha. And because Super Knob position is apart of the Scene memory, the doors are wide open to very creative uses and programming options.