If you mean the tabs with the filenames: unit1, unit2, forms, classes, ....
Check under menu: Project > Project Options
then the tab: Project Options > Session
- Enable "save editor info for closed fiels
- Disable "save editor info only for project files"
And ensure you have one of the 3 upper radio buttons selected, so session info is saved.
Recommended: "Save in lps file in project directory" => then you can check the date/time of that file.
Also, maybe check, if files belong to the project. That is if the project inspector lists all your files, well all those that you think belong to the project.