Something I should add:

If I unselect the box 'Route to dvx...' (Options / Preferences / MIDI Devices) before saving my file, nothing changes: When re-loaded there isn't any information about the Kontakt-VST-plug-in I used in my horn tracks.

If I re-route RB to Kontakr there generally, Kontakt is of course shown among fx in every MIDI track, but still there is no information that I connected Virtual Horns with my tracks...

Just to make it clear: This only happens with VST plug-ins, any other fx works fine.