Do the individual sequences play without a gap in sequence mode? I did a quick search and found some threads dealing with the same issue on other models. There's a possibility that it's due to too many MIDI events in the sequence and the processor can't keep up with them; also someone mentioned the possibility that differences in tempo/time signature/quantizing between the sequences could be causing it as well.
No I just tried song mode with sequences in different tempos, and it worked fine. Do you have any long samples? If so, can you try making a song with each sequence being very simple, like just a few drum hits and see if it still happens.