Well in that case, you might want to consider this a feature not a bug: it forces you to close some files so that you don't just keep opening new ones endlessly (something I'm definitely guilty of). Maybe we can request that Windows reboot more often?
As an aside, if you can remember to save your files, perhaps you can remember to do a File > Save Workspace (or just > Save All). Then, if Windows reboots while you're chasing the Giants of the Forest, all you need to do is reopen the workspace.
But, if you really want it to work like Microsoft apps (Word, Excel, etc.), then I think two things have to happen: 1) APN has to watch for the signal that the system is rebooting, and 2) when it sees it, register a command line somewhere that Windows will re-execute on startup. I'll put it on my to do list (but possibly just below clearing
all of the Giants from the Forests and restoring all of the trees that were cut down).