Just noticed this bug while building a new showfile. So basically the custom DS color palettes swatch doesn't disappear when changing snapshots. Here's how to reproduce:
Custom DS Bank and record a Color Palette to one of the tiles, with the swatch enabled. Record this as a snapshot (Custom DS Only).
Clear the tile using Escape, then replace that tile with say a Preset (What I used), record this as a snapshot (Custom DS Only).
When you switch between snapshots the color swatch remains over the Preset tile. I went a step further and found it would just be left as the swatch for the last CP active in that tile.