Have you tested whether this happens with both keys, Miniman? It might be a fault in one of them, or a software issue. Mine definitely defaults to whatever I was doing the last time I switched off, regardless of whether this was Media/Radio/Etc
Otherwise, have you tried going to the satnav and selecting Stop Guidance from the options menu? It may be that the satnav is still trying to guide you to your last destination, from wherever you are, in which case it might make sense for it to override the last setting.
Or you can choose to split the screen (not sure if this can be done with all packages: I have MediaXL) in which case it would show the satnav, as well as whatever other option you have chosen to display.