I've been having a hellish time saving a volume pedal with my patches as well. I use the edit software, add a volume pedal to a patch, test it on the pedal (patch live from software) and it works fine. I save the patch as a file and then "send" the patch to the pedal. Works fine - UNTIL close the edit software, click away to another patch then back to the one that WAS working, and the volume pedal is gone. I have wasted hours trying to figure this out, it just shouldn't be this tough. I've tried loading the entire setlist, everything - sometimes they stay, but most of the time they just disappear.
SO HERE'S THE FIX: Medbad5150's answer is correct - but you MUST change the volume on the BVP Volume on the amp even if it's turned off or using a generic amp ("amp A" for example), once you move the volume on the amp away from 100%, your patches will save correctly.