Sqrt disappeared when exporting plot to PDF in version 10

Looks like a bug. Stupid workaround:

Export["t:\\test.pdf", ImportString@ExportString[p, "EPS"]]

At the very least, there's a good chance that this would output reasonable vector graphics.

Or,

p = Plot[x, {x, 0, 1}, Frame -> True, FrameLabel -> {x, Sqrt[y]}]

The latter is what I usually do, anyway.

The problem seems to be when the label is rotated. Check this:

Export["test.pdf", 
 ListPlot[{1, 2, 3}, Joined -> False, Frame -> True, 
  FrameLabel -> {Rotate["\!\(\*SqrtBox[\(x\)]\)", \[Pi]/2], 
    "\!\(\*SqrtBox[\(y\)]\)"}]]

however if you accept unrotated label, you can use:

Export["test.pdf", 
 ListPlot[{1, 2, 3}, Joined -> False, Frame -> True, 
  FrameLabel -> {"\!\(\*SqrtBox[\(x\)]\)", "\!\(\*SqrtBox[\(y\)]\)"}, 
  RotateLabel -> False]]