The Song memory is not recording what you hear, it is recording your key strokes, so Transposition is not recorded. Here is a work around:
Save the Song and the transposition to a registration memory, then recall the registration when playing back the song.
After loading the Song and setting the transpose value in the function menu:
1. Press and hold the [REGISTRATION MEMORY] button.
2. Press the  button next to the [REGISTRATION MEMORY] button.
To recall the Registration after power up, press the  button next to the [REGISTRATION MEMORY] button.
Do you need an additional help?