This can happen IF you don't close LW fully down before rebooting, or your comp crashes.
My advice then is to make sure LW is fully closed before shutting down the comp. Also, go to your LW menu bar, Tools>Options>Saving & set Days to keep incomplete files to a large number like 999.

I doubt your incomplete files will actually be deleted. You can go to the LW Library window & select Incomplete folder & press the Resume button if they're not in the downld window. Do this if it happens again. But they may start from 0% so only do this as a last resort!