I had the same problems.
Upon investigation I concluded that for me (on Mac OS X, java 1.6.0_33-b03-424-10M3720) MidiSystem.getSynthesizer did *NOT* return the same synthesizer that the sequencer was by default connected to.
The sequencer is already connected to *A* synthesizer. If you do a getSynthesizer and connect it up then your sequencer will drive *TWO* synthesizers. You can test this by calling sequencer.getTransmitters and looping through the list (of transmitters open and in use).
I suggest that this is why setting volume to zero reduces the volume but doesn't shut it off completely!
Of course different java environments might behave differently.
1 (the one I used)
Don't use the synthesizer object because you can't get to it (but see solution 2). Don't use Channels. To control volume use:
receiver = seq.getTransmitters ().iterator ().next ().getReceiver ();
receiver.send (volumeMessage, -1);
This is of course suitable for both software and hardware synth so should simplify the code.
2 (not tested)
Use getSynthesizer and connect transmitter and receiver as lots of sample code tells you, BUT
do something like: seq.getTransmitters ().iterator ().next ().close ()
to shut down the default synthesizer started for you.
Then with any luck you can get the channels and the sample code might work.