heinrich, you are correct that by default the mixes should also be recalled with a scene change.
Have you checked to see if any safes or scene filters have been applied to the scenes you are using? Either of these could prevent the mixer from recalling the settings you are looking for.
If you find that a safe or filter has been set, you should find that the settings from your last stored scene should be recalled with each scene once these are removed.
Hope that helps!