I'm having the same issue.

Even though I have this setting checked (see pic), when I File->Exit or Close my only FF window and then try to re-open it, none of the tabs I previously had open are present.

In case you use "Clear history when Firefox closes".

• do not clear the Browsing History

• Settings -> Privacy & Security
  Firefox will: "Use custom settings for history":
  [X] "Clear history when Firefox closes" -> Settings
• https://support.mozilla.org/en-US/kb/delete-browsing-search-download-history-firefox

• clearing "Site Preferences" clears exceptions for cookies, images, pop-up windows, and software installation and exceptions for passwords and other website specific data
• clearing "Cookies" will remove all cookies including cookies with an allow exception you may want to keep

Use one of these to close Firefox if you are currently doing that by clicking the close X on the Firefox Title bar, especially if you have multiple windows open to prevent losing tabs in unnoticed windows.

• "3-bar" menu button -> Exit (Power button)
• Windows: File -> Exit
• Mac: Firefox -> Quit Firefox
• Linux: File -> Quit

I'm having the same issue but I don't want previous windows opened. I have the setting unchecked but previous tabs open up when I start Firefox.