Nope. I use the MOVIE and MUSIC buttons at the bottom right of the remote (next to the number pad) to cycle through the various modes.
I just tried this again & it does not seem to happen all the time. I need to observe and check if it happens ONLY in specific scenarios.
However, can I assume that the receiver will remember the individual channel volume levels in all modes by design (even if I switch off the power and switch it on again).