Probably. In firefox 3 (windows version), if you have two windows open, close one, and then close the other, only the second window's tabs will appear on the window that's created when you re-open firefox if you have it set to re-open your last group of tabs when you start it. (You can probably re-open the other window via 'history > recently closed windows', but this would be a separate step.)

Ending the firefox process from the task manager will save all sufficiently-recent tabs in all open windows, but is not at all elegant.

I haven't messed with this in firefox 4 yet, but expect that it works similarly.