Hi there actually no problem with your scope this is they way PicoLog Recorder works. If you have 2 channels selected on the lower voltage ranges (i.e. +/-1V or below) or doing more than one measurement on one channel the relay will switch.
PicoLog works by taking one block of reading per channel or per measurement. When two channels are selected that are on the lower the relays switches. So when one channel is being read the other channel is set to the higher range to reduce cross talk, then when the second channel is being read it set back to its lower range and son.
Another scenario when the relays keep on switching is when more than one measurement is being taken on one channel, with each measurement on different ranges.
Hope this helps.