The feature works. Open 10 different windows, then go to menu ☰ → Exit (Alt + f then x)
then re-open the Browser, it works, of course most people close the windows one by one, so Brave will restore only the last window that was closed, but you can see other windows closed by going to ☰ → History and it will show you the windows and what tabs were part of it and then you can use restore window button or using Ctrl + Shift + T, a shortcut which also works to bring even older sessions that aren’t shown in the UI.
Of course, if you want more control over things, you can use an extension, I like to use Tab Groups Extension, because it has a nice feature to group automatically but also you can save groups, same with enabling flag brave://flags/#tab-groups-save to also save groups natively, so you don’t need to have windows opened with tabs you won’t use when you can save them and close them.
But Tab Session Manager exists which is more what you want and developer also made Save Tab Groups for Tab Session Manager, plus other many extensions to deal with Sessions in a better way than natively.
If you properly Exit the browser or the Browser crashes or closes unexpectedly, it should restore everything the way it was, but even if you have Open the new tab page, but even you still have access to older Sessions as well.
Seems like Google never really cared about showing sessions in the history page which would have been more useful than the journeys page.