When you capture a Scene it should be capturing the active/bypass state of all FX Chains and Algorithms.
Can you try:
- Bypassing an algorithm in an FX Chain, then capturing the Scene
- Making the same algorithm active, and then capturing another Scene
When you do this, activating either Scene should either bypass or activate that algorithm.
It sounds like the “Action Type” for your controller is set to momentary. You can try switching this action to trigger or toggle. These options are found in the mapping menu when you right-click a parameter to map.