I think since 1.6 (I'm at 1.6.0.1) "Re-open project windows at startup" stopped working.
I have project(s) open quit Source tree, start it again and I only get Bookmarks window.
This worked nicely before 1.6 versions.
One possible reason I can think of I completely disabled OS X automatic application state saving (it was disabled even before 1.6 updates) and Source Tree begun relying on it and wasn't before.