What's happening is that when playback stops, Reaper is resetting any CC messages. The next release of Reaper (in a couple of days) will add an option to not reset MIDI CC on stop. As a workaround in the meantime, if you extend one of the MIDI items to make it longer, so that the Reaper transport continues to play as long as the synth is still making sound, that should delay the CC reset until after the sound is finished.