I have hot_exit and remember_open_files set to true (the defaults) and I don't have any problems with open files not being remembered. If I close the window the project is in (ie, using the close button, not the Close Project menu item), close ST2, launch ST2, and reopen the project, all the files I had open when I closed the window are still open. If I leave the project window open when I close ST2, it will be open again (with all the files still open) the next time I launch ST2.
I've never used the Close Project menu item.
Am I on the same page as the rest of you?