If you close your windows in the wrong order, you will lose your tabs and pinned tabs.

Example: Have a primary window with you email, calendar and important sites pinned.

Then open another window and open a few tabs.

Then at the end of the day, close your primary window first, then discover you still have the secondary window open and close it as well.

When you restart Firefox you will get the secondary window and your "primary" window will be lost with all your pinned tabs.

I actually went down a rabbit hole of trying to log it as a bug, but the behavior is by design apparently.

You can reopen the window you're missing with ctrl+shift+n, the same way you open a formerly closed tab (only that's not n, that's t). I do agree it's irritating this isn't made more plain.

Use Ctrl-Shift-Q so that all windows are closed at once.