Sidekick 4g media volume doesn't save
For now I am using Tasker to solve this problem. Just set headset plugged as the context, and make the task set media volume to where I want it. If someone finds a better solution and posts here I will accept it as answer. 

Note The market version of Tasker was force closing on my Sidekick. I emailed the developer and he got it fixed. Look for apk version 1.1b4 or above and it should work on Sidekick. This update will get pushed to the market sometime I am sure (or maybe it already has been)