I don't like this suggested feature. Having lots of tabs open is often unwieldy, and it slows down Geany's loading time, so having to manually remove documents from the session would be a pain.

If you like having every file in the project open at once, then why would you close them? If not, then I don't see why would you want them all to re-open next time.

Perhaps you would benefit from my Lua script for quickly finding and opening files in the current project? It's available at http://wiki.geany.org/config/scripts/lua. This might make it less necessary to keep everything open.