The reason you can press * to get out of the EQ is so that you can do things like search for specific songs (to test against your current EQ setting), change the loudness and fader, etc.
Note that if you press *, the setting is NOT REALLY SAVED, it's just left as the "current" setting so you can muck about with it for a while. The setting will disappear as soon as you select a different equalizer preset. It only fully saves that preset when you really hit save.
It's actually quite an elegant design, considering that it works with only the four front-panel buttons.
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Tony Fabris