"Continue where you left off" startup option is not working

Does the issue occur if you create a new profile and try it in that profile? (Make sure your original profile does not have any open windows; only the new profile should be open.)

Creating and testing a new profile will not affect your original/existing profile(s).

Obviously you’ll want to make sure the right setting is enabled in the new profile as well, although it should be the default in Brave.