The SETUP doesn't save levels settings because there are good reasons for this.
Generally a SETUP is created/store/recalled to save a routing scheme in the H8000.
In a recording session the engineer may need to reconfigure the unit for different apps, like multi stereo to surround processing. Levels don't need to be changed as they are managed outside of the unit and there may be undesired problems w/levels being different in such changes.
In a gtr setup, you should not connect guitars directly to the H8000, using its A/D Gains as level boosters. Always use preamps. When I/O levels are set in an fx processor, they don't really need to be changed. External units should take care of this (preamps, mixers, etc.).