I agree with everyone else here.
You won't loose setting when stopping the recorder, or powering down.
Heck, if you do your battery change fast enough, you won't even loose your date setting.
I do agree with stopping the recording between sets.
IF for no other reason, than to make sure the file writes properly to the media.
Couple weeks ago, I taped 7 bands at one show.
About 2/3s of the way through, I switched cards and batteries.
Turns out the other set of batteries were duds. The recorder powered down during the next to the last band. I lost that whole file. Luckily, I had powered off for a few minutes after the band before them, and still had that file.
Switched back to the original set of batteries, which luckily held out through the headliner.
So, I ended up with recordings of 6 of the 7 bands.
Would have only had 5 of them, if I hadn't shut down between bands.
I also agree with starting to roll again, right after powering down.
If you've got enough battery time, do it. that way, you don't miss anything at the beginning of the set. Or forget to turn it on all together.