Thanks to your remark, David-san, I realized my mistake: Dexed recall the choosen preset (wrong copy/paste in the list).
2 other synths concerned with this issue:
aethereal - psychic modulation
anvilia pro - H.G. Fortune
In GP I add a synth or fx, I select preset xx and save the gig. No problem until I leave the gig (opening another gig or restarting GP).
When I load again this gig, preset xx is not selected. 1st preset (default) is selected instead.
I have since found that if I edit the 1st preset (default) and save the gig, changes are saved in this default preset.
It works even with different rackspaces containing different settings of the same plugin.
This is a way to solve this issue, but rather complex if it needs applying manually preset xx parameters to preset 0.
I tried to find in midi in / midi out blocks or others locations a possibility to select the desired preset number by a program change associated with a rackspace, but I did not find.
This would be a nice and easy solution.
I use Midi Guitar 2 (Jam Origin) standalone in live performance and it works great.
Unfortunately, I have the same problem with it, this is why I test now GP, in the hope that it will solve this issue.
The alternative solution would be to use my daw, but it is not an handy way in live performance.