The way U1/U2 works is you completely set up the camera how you like in PASM and then through the menu you "store" all those settings into U1 or U2. Which means, if you did the store command to U2 with the camera in A mode, then U2 is always Aperture Priority.
When in U2 you can then tweak U2 by changing any setting and re-execute the "store to U2" command, except you can't change exposure mode, because it's selected by the same dial with which you select U2. If you leave U2 to go back into A mode, you also lose all the other U2 settings, and the camera reverts back to whatever settings you had last time you were not in U1/U2. In no circumstance is there ever a menu setting for exposure mode, and I think this opens a can of worms as it would create 2 different ways to set exposure mode.
A nice workaround would be to have a menu item to "load U2" so you could then set the camera in M mode, load U2, which should load all setting from U2 except the hard switched exposure mode, and then you could store that back into U2. But there's no such option.
Regarding the diligence of the photographer to check the shooting banks, on D300 & D800 there's an indicator on the LCD. Anyway I have a well-rehearsed routine of a series of checks whenever I pick up the camera to start a shoot. These of course include checking the shooting & custom settings banks. I don't see how I could operate the camera successfully without this level of diligence, as other soft-switches like ISO are hiding in there to trip you up as well (although I believe U1/U2 covers you on ISO). Of course on these cameras the exposure mode is a soft switch, and that would work for U1/U2 as well.
I guess I don't see why U1/U2 are tied to exposure mode by putting them on the same dial. Putting them on separate controls would fix my problem, which tells the UI designer in me that they are not related functions and therefore shouldn't be coupled. I'm just surprised nobody else says this. Everywhere I read (bythom included) people seem to think this is just a great feature.