Can you try this with a default config? If we can get it to work in there, then we can figure out what setting might be causing the different behavior. Use the -sc option on the OS command line to specify a directory that does not contain a config directory for SlickEdit.
Also, what OS are you on?
Here's how I tested this:
1) I created a new workspace with the following files in it: File1.h, File1.cpp, File2.h, File2.cpp.
2) Close all files.
3) Click on the Window menu item. I see the results shown in FileListEmpty.jpg.
4) From the Project tool window, double-click the files in this order: File2.h, File2.cpp, File1.h, File1.cpp.
5) Click on the Window menu item. I see the results shown in FileListBeforeClose.jpg.
6) Close and reopen SlickEdit.
7) Click on the Window menu item. I see the results shown FileListAfterReopen.jpg.