If you start an activity with you're PM connected i suspect it will work fine for you. However that's not the reality in a Tri as your bike is in transition and you start the activity ready for the swim with just your HRM-Tri connected. By the time you've finished the swim the sensor pairing time window has well passed and in order for you to connect it i suspect you would have to dive down into Settings - Sensors - PM - Connect to force the watch to look for it again.
I don't know how it works on the FR935, but my FR735XT starts searching for sensors when switched to the next sport in a multisport activity. I don't have a power meter, but I have an ANT+ cadence sensor on my bike, and after the swim leg in a triathlon the watch connects to the cadence sensor after I trigger the bike leg. That said I have to admit, that sometimes (rarely) this fails for a reason unknown to me.
How are you connecting to your power meter? In case via BTLE, then only one device is able to access it and many devices will disable the other protocol (that means Bluetooth or ANT+). ANT+ just broadcasts data, so anything can pick it... I have Edge 1030 and 935 and never had a problem with ANT+ sensors on a triathlon.
Did you checked if PM has been connected before start riding?
Seems like this not related to triathlon, I have similar issue during regular rides - PM goes to sleep during stops and disconnects from 935 and then never picks up back by 935 after resume riding.
So I am typically spin cranks several times in opposite direction before ride and waiting for 10-15 secs while PM connecting back.
Well, I've never encountered any issue with any sensor (SRM PM, Garmin speed, HRM-TRI) in triathlon mode. I select triathlon mode a couple of minutes before swim start to allow a good GPS fix and start activity when crossing the start line. After the swim I'm in T1 "activity" and when on bike I press lap again to be in bike leg. Sensors are available immediately.