I think it only works if you actually made an edit and then saved the document. The next time you open it asks if you want "to go to where you left off". I think if you open and close with no changes and no save this function doesn't work.

After a couple of tests I also noticed this function doesn't work if you use the save as function to capture your changes.

You need to open a document, make changes and save same document for it to work.