I would expect it. the activity summary page gives a battery summary of your sensors and the Rally's are on there and I always got one with my old 530.

You should get a low battery warning during the activity if the battery drops to that level. It should also show in teh ride summary.

i had the same problem with Vector 3. Lost signal without any warning

On the device, if i go to History -> activities -> specific_activity is do not see any battery information for any device other the a 1040 solar report which just shows the gain and intensity, but not the devices charge level or any sensor..  Is this the correct place to look? 

 on the web version of garmin connect. i see the the xc200 on the right has side. in the ride before it was there and said battry ok.  the next ride it dies after 2:48:58. and is no list on the right had side of that report. 

I had my Rally XC’s die without warning this week. The sensor record in Garmin Connect showed battery OK on Aug 13, but on Aug 20 the pedals wouldn’t even connect. I never saw low or critical battery warnings. I pulled out the batteries today, and both measured a fraction of a volt (i.e. dead). So did the batteries go from OK to dead in a week without being used?

Installed new batteries and pedals seem fine now.

My Rally XC200 (on firmware 4.00) also died without warning this week.  According to the Rally manual you should get a low battery warning so it would appear this is a bug - though I'm unsure whether this is unique to the Edge 1040 (I'm on firmware 14.20) or specific to Rally v4.00.

Battery Information

The Rally system monitors the battery level of both pedals and sends status information to your Garmin^® device.

NOTE: When you receive a low battery warning, you have approximately 10–20 hours of operation time remaining.

I have this behaviour (no low battery warning) with my Rally RS200 (rel 4.0) too (on both an Edge 1030+ and an Edge 1040).

My previous ride (using an Edge 1030+, rel 6.40) shows on the activity page in Garmin Connect (web version) that the battery are OK (full green). During this ride I did not got any low battery warning what so ever. 

The next ride a few days later (with an Edge 1040, rel 14.20) the Rally RS200 would not even connect to the Edge 1040. When I installed new batteries, the RS200 connected without any problem. When I put the old batteries back again (for a test) the RS200 would not connect.

So, I didn't got any low battery warning and suddenly the RS200 batteries were dead.

Just happen to me too, my RK200 just died during my last ride without any warning (firm. 14.20).