>>/185/
I can think of two possibilities:
1) Is your default gui session under options->gui pages 'last session', or something else? The 'last session' is special, and is saved regularly and on exit, but if you have it set to something else, you will need to re-save that session if you want the next boot-load to reflect those changes.
2) If your session is gigantic, it may be that hydrus is having trouble saving it, and because it is doing so on exit, it is unable to report that error properly. Does your session have millions of total thumbnails&urls in it? Or are you on a slightly lower-end machine, with say 4GB ram? If you look at your install_dir/db directory and look through the latest client.log, are there errors in there about your session?