Yes, I understand how the sleep function works, and that it leaves everything where it is.
I just tried it now, and it worked like I said. I had a bunch of apps open, along with a Finder window. I shut down using the shortcut keys, and turned it back on. Everything was closed except a Finder window, and I don't even think it was where I left it.
Maybe mine's messed up too, but I never thought so. I just have to remember to close the Finder window before shutting down, or close it after it starts back up.
I noticed this first when installing software that needed restarting.