Pretty dumb, IMO (not you, the S900!)...
OK, try this (you ARE talking about the MIDI sequencer, NOT the audio recorder, I'll assume!)... After you've recorded the sequence, go to the bar that you made the key change in, and Transpose the sequence from that point onward. Bit of a kluge, but unless an S900 owner can tell you if there is a parameter you can change that will have the same effect, it will work (although what a Global transpose does to the Mega Voice data is anyone's guess...)
_________________________
An arranger is just a tool. What matters is what you build with it..!