I'm not sure if my copy of the Super Game Boy is broken, or has had its internal battery run out of power, but it doesn't seem to retain any information.
In particular, I'm annoyed by how it doesn't remember the chosen palette. This means that I have to do a lot of work every single session to get my favourite palette (the one that looks the closest to an actual GB), and it seems like something that should be retained.
Before asking this question, I tried looking up information about the SGB, and also looked for pictures and videos of the internals of the device, but found nothing. If it indeed has a battery inside, it must be intended to save data. I do not dare to open mine, but will probably do so if nobody can answer this.
Also, even if there is no battery inside, it could theoretically use some battery-less method of saving this minimal amount of information, even though it's from 1994.