I fixed this problem myself by changing the history settings. I had it set to never remember history. Once I changed it to remember history I was able to change the setting to show the previous tabs and it stuck.

Yes, that can happen if you run Firefox in Private Browsing - Use Firefox without saving history mode.

• You enter Private Browsing mode if you select: Tools > Options > Privacy > History: Firefox will: "Never Remember History"
• To see all History and Cookie settings, choose: Tools > Options > Privacy, choose the setting Firefox will: Use custom settings for history
• Uncheck: [ ] "Automatically start Firefox in a private browsing session"