Hi Renatonm,
Some time has passed since your post so I was wondering if you found a solution for this because I'm having the same problem. I switch a lot between FX and scenes so the difference in volume is very problematic. A solution I tried was placing a limiter or compressor at the end of the FX-chain to manage the volume peaks that some FX give. It's not the ideal solution, especially because the compressors and limiters are mono and therefore make stereo FX mono. I will be experimenting with a stereo hardware compressor/limiter, hopefully that will help.
Regards
