Thank you for your answer.
I've understood that many presets are made with several layered sounds, but what I can't understand is that, even when playing my sequence with "bad sounds", I can go on playing live with the good one. So the machine is able to products thoses sounds together and when I put midi selector on ALL, it should record ALL the data, and not only keyboard events.
In my case, the sound bank selection seems to be good, but not the effect.
I know there are several DSP, and I wonder if the "live" right section could use a reserved one, which couldn't be used with the sequencer.
In every case, I find this situation absurde.
Jerome