To use capacitor or diode in latching relay set-up? Which is better (less power loss)?
Diodes don't cost that much and neither do capacitors so I would implement a decent capacitor hold-up AND diodes for when the relay switches over. You don't have to fit the diodes if you find that the prototype is OK without them.

BTW, the relay switching might be in the several milli second region so I urge you to read the data sheet so that your capacitor value can be correctly estimated thus minimizing voltage droop when switching from A to B power supplies.