I've found this annoying at times.
As I understand it, Sublime's workflow is presently project-per-window. Sublime remembers everything about the window workspace for the project automatically. Trying to open the same project in multiple windows contradicts the paradigm, hence the problem.
I actually like the project-per-window approach, and I love how sublime handles everything seamlessly: when you close the window, the project's state and workspace is saved out automatically. This rocks.
However, there's room for improvement, especially in the case where several windows are used to spread code across multi monitors. The simplest approach would simply be a "new window with current folders": the new window's not part of the project but functionally you'd get about 70% of the benefit (go to anything, search open folders etc.).
A more powerful approach would be to support multi-window projects: the sidebar would be mirrored for all windows part of the project, and "Groups" (panes) would now appear under "Windows". Files could be easily moved between groups or windows using the sidebar or the current drag and drop approach, but "Groups" could also be dragged between windows. Windows that are part of the project are saved when the project is closed.
For now I've adapted to the restriction: I have my main "project window" whose state and workspace I want saved, and auxilliary windows for my current work session. At the end of my work, anything important in those windows I drag over to my main project window before shutting sublime down - and everything else can be discarded.