I had a similar problem with utility tracks not handling midi channels correctly after saving and reloading, and posted the issue and got an answer from Andrew at PG Music saying:

It does seem to be a bug that the channel is not saved on Utility tracks with the .MGU. There is an easier work-around though - right-click on the track --> Track Settings --> MIDI Channel --> select "Multi-channel". This setting is saved, and your MIDI file should play with the correct patch.

Perhaps this work-around will work for your issue. It's good to know that PG Music admits it is a "bug" that utility tracks cannot save and replay midi channels, because we can thus assume this will be fixed in the future.

Another trick, if you only need a few tracks with permanent assigned midi channels, you can put that information on either the Melody, Soloist or Audio tracks (any of them can hold midi information and be renamed.) Those three, unlike the utility tracks, will not have this problem.