I've notice this as well, but from what I've heard, this is how all dual-card cameras have worked (ie. 1D-series), so I guess those of us who are new to dual-cards have to get used to this behavior. I assume that in most of the recording modes, if the camera ever "sees" the CF card is missing, it automatically switches to the SD card.
What my rule has become is to not close the memory card door without a CF card inserted (during a shoot at least) so that the camera never knows the CF is missing. I've never had it switch to the SD card when I stick to this rule.
(Note: I use the SD card as a separate JPEG backup, and I don't want it to switch automatically to the SD card for playback. I want to be able to quickly verify that I've inserted a blank CF card.)