OK, I got a response from Portland Design Works:

"Thanks for the email. I just tested a couple of Dangerzones from our inventory, and they behave the same way yours does. I also tested a Radbot 1000 and it too behaved the same way. Our lights weren't designed to turn back on when you put the batteries back in."

I was pretty doubtful about the claim, good to have confirmation from the guys who actually know.