Under WIndows/Linux, when you close the last window the application terminates, but that doesn’t happen under OSX where it’s normal for an application to be running without having any windows present.
So if you close the window and then quite Sublime, the state that it’s restoring back to is the one it was in when you quit (i.e. with no windows open).
This is functionally equivalent to having two open windows under Win/Linux and closing both of them; when you close the second one the application quits, so when you restart only that last window is restored.
The only real solution to this is to quit when you mean to quit and close windows only when you no longer need them.
That said, if you;re doing something with folders that you are accessing often, then as @math2001 said using a project is a good idea; you can use the quick project swap tool to get back to a project, and sublime saves the state of the project the same as it does a window when you quit (unsaved changes are persisted, etc).
For opening two folders in the same window I think your only options are to either open the first folder and then drag the second folder into the same window or use the terminal to do it; in that case you can use the -a
parameter to add a folder to an existing window.