If you make your external display the primary one, close the lid, then restart the computer it should work like it is supposed to.
I think it may be a software bug, but I'm not sure. Mine started doing it a month or two ago. Some people that had the issue said the Mountain Lion beta fixed the problem. I wish Apple would just release a firmware update to fix this though...
I'm not sure if this is happening to everyone and they don't know it (As not everyone uses an external monitor with their Air) or if it is less widespread.
My other issue is that my Air (i5) no longer auto-detects displays. Meaning when I plug in an external monitor, I have to go into display settings and press "Detect". When I first got this Air it was automatic and would detect it instantly after plugging in. I have tried this with 3 different cables (MDP->DVI, VGA, HDMI) on two different monitors and it is always the same result.