No just go to your dealer... They know about it. Mine told me it has been a common bug.

 

That is incorrect information that the dealer is giving you, the unit was designed to operate that way (don't ask me why).

Here is GM's response to this:

Document ID# 1866255

Subject: Info - Rear DVD Screen Off After Ignition Key is Cycled - Operating Instructions #06-08-44-035 - (10/10/2006)

Models: 2007 Cadillac Escalade, Escalade ESV, Escalade EXT

2007 Chevrolet Avalanche, Silverado (Crew Cab Only), Suburban, Tahoe

2007 GMC Sierra (Crew Cab Only), Yukon, Yukon XL, Yukon Denali, Yukon Denali XL

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Some customers may comment that when operating the rear DVD screen during an ignition key cycle, the DVD screen will not turn back on. This is a normal operating characteristic and no repairs should be made.

If the DVD disc is ejected and reinstalled, the rear DVD screen will turn back on. Additionally, if the power (on/off) button on the remote control is pressed, the rear DVD screen will turn back on. Advise the customer to use the remote control to return power to the DVD screen.

 

Thanks ZX, I thought it would be odd to change the whole unit just for a simple inconvenience.