Example: I have a clean amp rig in slot 1 with overdrive, gritty delay, and modulated reverb for effect pedals I-III respectively. Slot 2 is my heavy riff rig. The song starts with Slot 1 (clean) with just modulated reverb. As the intro progresses, I step on pedals I and II to add drive and delay . Then switches to slot 2 for the chorus. For the 2nd verse, I need to go back to the same sound I had before the chorus - clean with drive, gritty delay, and reverb. This means I now have to step on Slot 1, Pedal I, and Pedal II as fast as I can since the change in the song is instant. If the state of the pedals would be stored when I switch slots, this wouldn't be a problem.
Adding this feature would also mean I wouldn't have to save separate performances per song, as I do now. I could have a more formulaic approach to my live performance, and probably be able to just use one performance in total.
This one feature would be the difference between me having to program different rigs, which frankly, has me considering other modeler options.
As for a UI solution, you could simply add a toggle to the system settings, something to the effect of "save effect I-IV states" in performance settings. Or it could be slot specific under "slot settings" tab. And even better if we could also save Morph states when switching between slots.