It seems, VsCode only remembers opened files, if you also have a folder opened.
It doesn’t matter, if this is just a Dummy Folder somewhere on your drive – if you open files outside of this folder, they will be remembered aswell.
I’m not sure if this is as designed, or a bug.
Edit: This is a bug and tracked here
Edit 2:
To sum up the answers from below there are now two settings concerning this issue:
Hot exit has been implemented, which restores files which weren’t saved before VS Code is closed.
To change this, use this setting:
files.hotExit: "onExit"
To reopen all files, use this setting:
window.restoreWindows: "all"
But there is still on open issue with this found here.
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