According to the Rally manual you should get a low battery warning
Battery Information
However my Rally XC200s (on firmware 4.00) died without warning this week. The previous ride in Garmin Connect showed battery staus OK, but 5 mins into my ride yesterday they stopped working without any warning or indication of what was wrong - they simply wouldn't connect.
When I got back I installed new batteries and everything was good. Totting up the rides I had been using them for a c. 118 hours, so I have no complaint about the battery life, but it would have been nice to get the advance warning.
I'm using an Edge 1040 (rel 14.20) and on the Edge 1040 forum other people have been reproting the same issue, but I'm unclear whether its specific to the Edge 1040 or to the Rallys on firmware 4.00.
Is anyone else having this issue on other Garmin devices?