Sorry for triple post... I'm not able to edit the above messages.
Looks like I've found the problem, and is related to the way the Safe Shutdown script powers off the RPi.
On the SS script located in /recalbox/system/hardware/case/installers/gpi/assets/recalbox_SafeShutdown_gpi.py there is a line that reboots the RPi when ES is killed:
With this the shutdown is much faster because doesn't wait until the SO is ready (is like pressing the reset button, so I don't know if is dangerous), but looks like some things are not saved correctly. Changing this line to the original shutdown command is a bit slower (but much less than retropie ), but all seems to works fine.
os.system("shutdown -h now")
I've tried several times to power off using the Switch to see if fails again, and now seems to be working fine.
I don't know if I have to report this problem on the Gitlab repository...