Just a quick question about this mode. When set to card A and B, a small plus sign appears on the A card icon on the screen and the time available adjusts to combine both cards. However this setting does not seem to be saved when powering off the camera and on again - the icon reverts to card A only with card A time remaining . However the dual recording card setting does save after power off.

Has anyone noticed this? Am I doing something wrong?

You don't say which camera you are using. I use the Canon HF-S200 which also supports this feature but not the dual-record feature. The following is quoted from page 39 of the HF-S20/21/200 Instruction Manual.
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Any of the following actions will deactivate the relay recording fuinction:
-- Turning off the camcorder.
-- Opening the double memory card slot cover.
-- Changing the position of the mode switch.
-- Changing the camcorder's operating mode.
-- Changing the memory used for recording movies.

Sorry, the G10. The same is on page 34 of the manual - my apologies. I wonder why it doesn't remember for relay on power off but does for double slot.

Yes, that is the way my G10 behaves, as documented on page 34 of the manual. Many different things cause it to pop out of relay recording mode, not just turning the power off/on. I don't know why they made it so "spring loaded" to drop out of relay mode.

To me it's illogical -- you pick relay mode if you're really serious about not exhausting memory, which means you're recording for long periods. Under those same conditions you're likely to change batteries, change recording modes, etc. which cause the relay mode to evaporate. You have to keep track of when this happens, then go back into the menu to reinstate relay mode.

If the behavior wasn't specifically documented in the manual, I'd say it was a bug. I don't understand the logic behind this.