As far as working on remote filesystem, no I never do that. it's always local files.
As for closing/reopening, I dunno what your particular settings are, but with my settings the way they are, if I press ctrl + q to quit all windows at once, when I restart sublime all my windows open back up. The most annoying part for me is that I usually use several different desktops, with one or two subl windows in each, and when I restart, they all open up in one, all stacked up and I have to sort them back out. But that sounds much less annoying than having to go in and reopen a bunch of different folders in seperate windows each time.