I don't have any personal experience with any models that have the Song Creator feature, so I can't offer much help or try anything myself. However, I've seen posts from other owners in other forums who've had trouble saving their changes to MIDI songs and the answer from knowledgeable veteran users has always been to be sure to save the changes.
In the instructions in the Reference Manual that begin on page 60, on page 61 step 5 is to "record" the changes using the Apply button and step 6 is to "save" the applied changes using the Save button, so it might be that you always need to "save" each time you "apply" any changes-- that is, maybe you cannot apply some changes, then go make additional changes elsewhere in the song and apply them, and so on, and then "save" everything only at the very end; maybe you must edit, apply, save, then edit, apply, save, then edit, apply, save, if you want all of your changes to get saved properly.
There's a notice right after step 6 that says your changes will be lost if you don't save them, so the only thing I can think of-- since you say you are saving the changes-- is that maybe you aren't saving each and every time you apply an edit, or maybe you aren't applying the edit before you save the song again, or something similar.