I suspect it's because LW is not closing down properly when you close it. Go to Tools > Options > System Tray & make sure LW is set to close immediately.

You can go to Library window, select incomplete folder, select all incomplete files whilst holding down SHIFT key, press Resume button. They will go back to downloads window but initially show zero %. If they restart downloading they will show their previous download %.

I recommend: Tip: Purge the Downloads Queue! (click on blue link) so LW reacts faster & get rid of possible fake files trying to crowd your connection.