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