On my RC I have the speed switch set to Cinema, but the display says I'm in N (Normal).  To get Cinema, I have to set the switch to Normal and then back to Cinema.  Is this the way it is supposed to work?  

Yes,   the drone will always take off in Normal (N) mode.  It's by design.  

Hello, there. By default, the Mavic series drone will power on in Normal mode (N-mode) regardless of the remote controller mode. After powering on, switch the remote controller mode again, the aircraft flight mode and the remote controller setting mode will be consistent.

Yep, that happens all the time. just the way it works.