Yep, it's really annoying. All the early Roland midi synths do it.
Roland interpreted the 'all notes off' part of the midi spec literally and thought it meant all notes off on the controller. Whereas it was meant to be all notes off on the sound module. So because of that the early midi computer sequencers had a dedicated CC123 (all notes off) input filter. But Live is a relative newcomer and doesn't have such filtering - although I, and others, badgered them about it a few years ago.
So you have a couple of choices if you have a PC. I don't know about Mac users.
I either used a midi filter plug in like the CC filter here:http://www.niallmoody.com/ndcplugs/ndcmidi.htm
Midipipe (Mac) works a treat - What a cool little program - The RD1000 lives again!
Or Midi-Ox and Midiyoke. Setting these up is a bit of a pain and I don't remember how exactly I did it. But it did work.