So guess what. I suppose I AM a big giant dummy.
the two privacy settings are set to exactly how you have it in that screenshot. However, the "start orion with" option was set to "new tab". I don't think I changed that? Maybe I did long ago? Not sure. I changed that setting to what you have selected, so I'm sure that'll fix my issue.
I do think that setting is a bit confusing though. I thought that just meant what to FOCUS the browser on when it starts. I did not realize that setting it to "new tab" meant it would completely wipe out all tabs from whatever I was doing earlier that day. However, reading down a bit to other options I think it makes sense.
Thank you for helping me out! I now feel embarrassed lol