Reproducible at every power on of the RC2:
A message appears that an SD card was found and one could change the current destination going into 'Profile' > 'Settings' > 'Memory'.
You have to press 'OK' to get rid of this message. EVERY POWER CYCLE again, and again, and again.

I reformatted the SD card inside the RC2, did not change anything at all, same issue.
Card is a Samsung Pro Plus 256GB. Same card type I use in all DJI drones, DJI remotes and DJI O3 Air Units. Flawlessly. So I am sure this is a software bug. May be it has something to do with the region or country or language settings. I'm using german language UI.

Anyone else has this problem?

Have you tried a different card?

Yes. SanDisk  Extreme Pro 64GB. Same.
It is not a card issue.

... and another one, Samsung Evo Select 128GB (the Amazon exclusive green ones). Same.

Is this since new? Have you tried taking out the card and refreshing the firmware using Assistant 2 consumer version?

I'm bored.

Its a firmware bug from the last update

https://forum.dji.com/thread-294639-1-1.html?page=4

Hi there, SeehawerB. We're deeply sorry for the trouble that this has caused. We will coordinate this with our designated team for attention. We will keep you posted. Thank you for your understanding and support.

Issue seems to be gone with  firmware upgrade V01.00.0700.

Thanks a lot!

SeehawerB Posted at 9-7 02:46
Issue seems to be gone with  firmware upgrade V01.00.0700.

Thanks a lot!

Yes, the message doesn't pop up any longer but it still saves screen recordings and screen shots to the internal storage even if you have SD card and have the sd card selected as storage.

Yes, that's a big shame. Why do you need an SD in the RC anyway if the most important data is written in the internal memory, propably a result of Android constraints. My workflow getting the footage off my drone is plugging in a USB cable from my PC and downloading it this way. I see no real use case in downloading the footage via remote connection into the RC what is a dead end for any further usage.

So I do not see any use for the SD card in the RC. Thinking about changing the cards in the remotes to 1GB ones. The cheapest I can get my hands on. 'Cause I just don't need them.

If I could make a wish this it what it would be: let the RC save not only the screen recordings and screenshots on the SD card, let it also save the cached videos and the flight logs on the SD.
Would be very useful. But will never happen.

Hmmm, discovered this today, it's very useless that screen recordings are not saved to the SD card. Only thing I can think of now for the SD card to be relavant in the DJI RC 2 is to have a spare one that you can use in your drone, when the one in the drone is full or broken... So at the moment my DJI RC 2 is a very expensive "Spare SD card holder", with lots of cool features

VisioAer Posted at 10-7 06:19
Hmmm, discovered this today, it's very useless that screen recordings are not saved to the SD card. Only thing I can think of now for the SD card to be relavant in the DJI RC 2 is to have a spare one that you can use in your drone, when the one in the drone is full or broken... So at the moment my DJI RC 2 is a very expensive "Spare SD card holder", with lots of cool features

Their intention from what the moderators have explained is that we are expected to record everything to internal storage and then move it to SD card at a later time and or date. Which to me is very counter intuitive and in which case, I can just connect the RC2 to my computer via cable and transfer. No real point in the SD card if we can not tell it to save to SD card IMO. It is also my understanding that the previous generation of this controller works the way we would expect the RC2 to work. I have a poll here about this topic and I would ask that everyone please go vote. You can find the poll here. Maybe if enough favorable votes are cast, DJI will fix it.