It will remember the settings in most cases. If you leave a set of batteries in the unit, it will store the setting for sure.
For any loud concert, you aren't going to need more than 20-30db of gain. The low or medium should be fine.
I would NOT use the high unless you know it's going to be a pretty quiet event, as you can't change mid-recording.
At 24/96, you don't need to come close to clipping to get all the dynamic range of your recording. Keep it below the little dot 95% of the time.
The file split you referenced is normal, it's the 2gig limit of wav files. It will happen every hour at 24/96 and every two hours at 24/48 or 24/44.
There is not any data missing, the files are easily and seamlessly rejoined using an editing program such as sound forge, cubase, or protools.