That is correct, they do. However, not when you maximize and then close them. I can do a faux maximize by stretching the window to all 4 cornors and closing it... but it doesn't look good with the skin I am using (Vista XP).
I was thinking maybe a registry entry that determined that last opened size... and making it my desktop size might help? I know my windows 98 computer could maximize, close the window, and it would stay maximized. Windows XP doesn't seem to want to.