Your TimeFactor is not behaving the way it's supposed to. When it is Active and receives a Program Change message, it should stay Active. There is a setting which changes this behavior, and perhaps you have set this accidentally.
It's under the MIDI Menu under the RCV MAP. In this menu, the left column is a number which represents MIDI Program Change numbers. In the right column are the TimeFactor Presets. If you set this column to BYP or TOG, it means that TimeFactor could go into Bypass upon receiving a MIDI Program Change message.