This happens because the default in MIDI gear is to recall the stored volume setting as it was when the program was created. If you would rather have the controllers NOT reset you must set your keyboard's preference to Controller Reset = HOLD. Doing so will prevent the default Controller Reset from occurring - in other words, when set to HOLD recalling a program will NOT reset the controllers.

In your MX set your Utility > MIDI setting for CONTROLLER RESET = HOLD.

Nothing is wrong, just you have decided to have Controller remain as you have them.

MX Reference Manual page 66

Go to [UTILITY]
Select MIDI
Find CTRL RESET
Set it to HOLD
Press [STORE]

Thanks. This worked perfectly!! Wow, glad I asked.

Also, I was reviewing pages 64-67 in the MX Reference Manual and I noticed under Utility/Controllers there was an option for "FS Pedal". It said if I had an FC4 sustain pedal, which I do, I should change the setting from "FC3 (Half On)" to "FC4/FC5" so I did.

I don't really know what the difference between the pedals or settings are but I figured I may as well set it to what I have. Do you agree? Did I lose anything by switching to "FC4/FC5"?

The book says the FC3 has a "Half Damper" feature which I assume I wasn't getting with the FC4 anyway.

What's your opinion?

Thanks again!!

I need someone to pick out one best product from those on this list here.
Title https://latestmusicalinstrument.com/best-volume-pedals/

I need someone to pick out one best product from those on this list here.
Title https://latestmusicalinstrument.com/best-volume-pedals/

Not enough information as to what your goal is. You may think it is simply to control the Volume of your Keyboard. It is not that simple, I’m afraid.

We’ll assume you have a Yamaha MX (as you posted in this forum).
First, all the pedals on that list are not the same... all but one of them require you plug the Output from the Keyboard into the Pedal, then the Output of the Pedal goes to your Sound System. They literally pass audio signal through the pedal (they are ‘inline’ Volume Pedals). The Yamaha FC7 pedal is different, it connects directly to the back panel of the Yamaha MX. The pedal does not connect to your Sound System, at all. The pedal becomes apart of the Keyboard same as the Sustain pedal, or Modulation Wheel... The FC7 can be used only on a Yamaha Synthesizer or Combo Piano product. It is specific to the product and does not pass audio through it. It is a programmable device that speaks directly to the Synthesizer.

Do you connect your MX in Stereo?
If the answer is yes, then none of pedals that pass audio, are stereo.
The Yamaha FC7 controls what you Assign it to control — it becomes apart of your Synthesizer.

The Yamaha FC7 is the recommended Pedal for your Yamaha MX. It is programmable. It can be an Expression/Volume pedal, which allows you control output level of your MX Programs, It can be programmed to control Filter Cutoff (so it can act like a Wah Pedal, because it is programmable). It can be programmed to be different functions.

Please page 18 of the MX Owner’s Manual.
What are you attempting to do?