I'm having this issue but with my stages power meter, I don't recall seeing any low battery warning messages then next time I use them the batteries are flat. as the batteries are reasonably cheap I change the batteries every 2/3 months regardless of battery level.

The same here - I’ve got the warning and 2h later the devices stopped working . 
Sometimes I see a detailed battery status in the Garmin Edge 1030 but mostly only OK is displayed.

A similar thing happened to me today. Right side battery died without warning, Rally XC200s and 1040 Solar. I noticed when my right pedal wasn't showing up on the pedal dynamics screen, power was where I was expecting so I'm guessing it was just doubling my left leg? I measured the battery voltage and the battery from the right pedal was about a volt lower than the left, the other battery still had plenty of life left. 

I have this behaviour (no low battery warning) with my Rally RS200 (rel 4.0) on an Edge 1030+ as well. 

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 changed the 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.

Hi ikdo01! You may be experiencing battery fretting, Please ensure you are doing steps 4-6 in the FAQ linked HERE. I hope this helps! 

Hi Garminn-Maeve

I don't think this is the issue.  I was using the original batteries and when I look on Garmin Connect at the ride before they died, the battery status is shown as OK with a full green picture of a battery.  They simply died without warning 5 mins into the next ride.  Once I got back and installed new batteries everything was good.  The old batteries didn't show any sign of fretting.  As an aside each of my Rallys were fitted with 1 * CR1/3N not 2 * LR44, and I replaced them with the same.

Prior to using the Rallys I used to have a Stages power meter and the previous Garmin head unit (Edge 1030 plus) gave me a warning when I had a low battery and it needed replacing.  I was expecting something similar for the Rallys so I could replace BEFORE I went riding - and the User Guide states that this is the expected behaviour, so either there is an issue with connection to the Edge 1040, or there is an issue with the firmware 4.00 for the Rallys.  

Garmin-Maeve There’s been some discussion of this problem in the 1040 forum:

https://forums.garmin.com/sports-fitness/cycling/f/edge-1040-series/303516/battery-level-warning-rally-xc200

If you are continuing to experience this on your XC200s, please reach out to your region's Garmin support at support.garmin.com for options. 

Did a ride today. Garmin 1040 Solar firmware 14.50, Rally dual firmware 4.0. Had about 20 minutes notice before the pedals died.  Pulled batteries, left was 1.8 volts and the right was 2.9 v. The ride prior had everything okay.