It seems that our space probes end up changing speeds as they leave our solar system, but why? Is space less dense there? Is the energy of our solar system creating wake in deep space as it moves? Is it because the gravity of our Sun has released it? Or is it some other phenomena?

Well, this is indeed an interesting question to ponder and I liken it to the issues in aviation with True Airspeed (TAS). You see, TAS is the speed at which you are actually traveling over the ground yet you could have a head wind, higher air pressure (near sea level-thick air) and show you are going faster thru the airflow, but actually slower over the ground. I can remember as a kid flying a Civil Air Patrol Piper Super Cub and looking at the airspeed reading 45 Kts but then looking at the ground and it seemed I was going backwards at about walking speed.

And if you are in thinner air, in the jets stream or such you would not show you are going as fast as you actually are over the ground. This relates with space flight outside of the solar system in that your probe is not into a change in density or a different flow, that the flow within the solar system as it moves together as a unit thru the void of space. I do not necessarily think of things in this manner, just pointing out knowing of such here on earth makes it hard for one to be shocked that a probe leaving the solar system would not change speeds. In fact I would expect it too. Consider such things like this in 2006.