This is a bug with Windows ST3 Build 3033 (and probably all the other OSes and builds as well).
When I open a file - and then close the entire application (such as with Alt+F4 or File>Exit) - the files that were opened before closing the application do not get added to the "Open Recent" list.
However - if I go to File-->Close - then if I close SublimeText and open it again - then the files get added.
It seems the files are getting added to the Open Recent list during a "Close" event which is not getting triggered during an application exit. Also, FYI I have "remember_open_files": false, and "hot_exit": false. So I expect that when I close the entire application - it should add those files to the Recent list that were open when I exited the app.
Steps to reproduce:
1. Open a file in SublimeText.
2. Go to File - Exit.
3. Reopen SublimeText and check the menu File>Open Recent - file will not be there.