If I use Magmortar Lv. X Poké Power (Torrid Wave) to burn an opponents active pokémon and then he (Magmortar Lv. X) is switched/retreated out etc. does the defending pokémon remain burned?
Dragonexpert, you misread the question. He was asking what happens if MAGMORTAR switches out.
If Magmortar switches out after Torrid Wave, the Defending Pokemon is still burned. If the Defending Pokemon switches out, though, it is no longer burned.