I have just performed a fresh re-install of El Capitan on my MBP 2014 and have found that this setting is not working at all. When I log out, I leave the check box ticked (so I DO want to open all applications and my open terminal sessions to be restored, which also used to always work). When I log back in, nothing is restored, and my previous terminal sessions are lost. So how do I fix this? In general settings, I have un-ticked "Close windows when quitting an app", but I'm not sure if this is related to logout issue.
Well, all of the information for the restoration is kept in ~/Library/Saved Application State, so maybe looking there would lend a clue. You should see a whole lot of folders ending in .savedState.