I'd say this is pretty definitively not working. Wish I understood why.
During the initialization process, the code gets to a point where it looks to see if a tournament filename has been passed on the command line. This is done to support double-clicking a tournament file in Windows Explorer and having Windows automatically start the TD application and load that tournament file. Just like double-clicking a Word or Excel document fires up Word or Excel and automatically opens that document. If there's nothing passed to the application on the command line, it looks to see if this preference is enabled, and, if so, it tries to load the last loaded tournament.
So, the only thing I can think at this point is (1) there's an error before it gets to this point in the code, but the error isn't displayed and the application just keeps on trucking (but skipping the loading of the last tournament). Although I think this is unlikely, it's possible; or (2) the software thinks a tournament has been passed on the command line. In this case, if it can't find the tournament file, it just skips trying to load it. No error is shown. So if this is happening, it would explain why it's not trying to load the last tournament (because it's either load the tournament from the command line or load the last tournament). But there's really no way to know.
Here's a quick thing to try: When the TD is not running, double-click a saved tournament file in Windows Explorer. Does Windows launch the TD and the double-clicked tournament file gets loaded as soon as it finishes initializing?