Yeah, “restore session” will restore whatever you had open the last time you quit Firefox. Closing windows one by one will only quit at the last window, so that’s what it restores. If you want to close Firefox and have it restore multiple windows, you have to use “Quit”.

Yeah. If you close an individual window you’ll lose it, but you can find it again in the history menu (from the re-open closed window submenu)

If you use the quit command from the global menu (on any window) they’ll get restored next time when you launch it.