A small bug I met several times, but only now found a way to reproduce it.
1. Open several documents in EE and save the workspace.
2. Close EE and its tray icon (if shown).
3. Start EE (tray icon does not appear).
4. Open Customize -> Shortcut, check the “Display a tray icon” and “EmEditor Quick Start” checkboxes.
5. The icon tray appeared: left-click it and select “Restore Workspace”.
6. The “Untitled” document shown after the step 3 is closed, but the workspace is not restored. You have to repeat the step 5 to actually restore it.
Strange. I followed your steps, but I cannot reproduce your issue.