Its not immediately clear to me what the problem could be, but I have a few questions that may help troubleshoot:
When you say you name the FX chain, are you saving it as an FX chain preset, or just setting the name of the FX chain container in the FX chains mode view (using the Rename soft key)? The latter won't be recalled as part of a Scene change, only the preset name will, so this may be causing some confusion.
When you say you 'name the scene as a midi map', this sounds like you may actually be creating a new map, instead of just adding a Scene to the current map? In most cases, you will only need to have a single map in the left-hand column, with all your program changes contained in the right-hand column. Is this the case?
When your Scene map won't respond to program change messages, is it shown as being active in the Scenes mode? The left-hand column should show a green light next to the map name, and the right hand column should show a green light next to the currently selected Scene. When you issue a program change, the right-hand column will advance to the next Scene with a yellow light, and then a green light once the Scene is fully loaded. You can use the Load soft key on the right-hand column to manually load a Scene, to rule out any possible issues with your MIDI controller.
