I could be wrong but I really don't think scenes are like contacts. That is, they aren't able to be backed up to a server belonging to Verizon.
If you have a new phone, you will have to redo your scene(s). Your old phone did save the scenes ... in its memory. Kind of hard to transfer info from the hard drive of your old phone to the hd of the new one.
Unless I am mistaken, I don't think there are any options of saving your scene preferences to the sdcard.