How can I make MainStage save volume levels?

To save the volume and expression levels per patch: select a patch, set levels and save(shortcut-command-S). Repeat for each patch. Other issues to avoid: to keep volume changes from affecting other channel strips, at concert level, with the assignments and mappings tab selected, uncheck the send unassigned MIDI to all channel strips box.

I'm not sure I understand your question. When I save a patch, all of the volume levels are automatically saved. When I recall the patch, it's right back to where I left it. If I alter the volume during performance and save the patch, it remembers the point where it was said and overwrites the previous setting. This is true of all settings (not just volume) for the plug-ins.

Perhaps you are altering your initial settings during performance and saving all of those altered settings when you close the program?