The relays are only rated at 10 amps. With hard wired lights and a controlled load that is acceptable. I would not want to use something rated less than the installed breaker for traditional plug and cord connected loads=its just too easy to plug in a bigger sub and now you have a problem.
The relay not opening during a power failure is no different than a toggle switch. IIRC, then opening on power failure is an OSHA requirement for potentially hazardous equipment-ie you don't want conveyor and other moving equipment starting up because someone 100 miles away flipped a switch.
If you really wanted to, you could use fuses to protect the individual switched legs. It could be a workable solution-but a bit more complex with a few more potential failure points.