Ahhhh.. Lacie2big via thunderbolt.... that's how I ended up with a 5,1. [something in my profile about it if you want the origin story].
There are just so many factors not considered in your opening post so I'll just have a quick stab at providing an answer..
I'm assuming.. "Windows open" equals *reopen [FINDER] windows when logging back in* (like screenshot). Behaviour on this has always been unpredictable and changes between OSX releases (later releases respect it / earlier releases ONLY observe this preference for ALL open applications with the EXCEPTION of Finder).
"external" RAID has nothing to do with it.
First principles....... macOS preboot config uniformly evaluates (1) SATA ports THEN (2) enumerates PCIe connected hardware THEN (3) GOP (Graphics Output Protocol) e.g. boot screen in a routine/procedure wholly unrelated to the final step...... loading the OS (and opening desktop).
THUNDERBOLT is just a PCIe connected peripheral (and enumerated as such). I'm worried this is a 10-page essay so.. for brevity.. my experience is this..
I use bootable SoftRAID arrays with NVMe drives -- WORKS fine (on HFS+)
I use bootable Highpoint WEBGUI configured RAID arrays -- WORKS fine
HDD arrays - work fine
SAS to SATA III SSD arrays - work fine
In summary... the "CONNECTION via thunderbolt" theory (or the "HDD v SSD arrays" theory) should NOT have ANY bearing on whether FINDER windows reopen on restart.
I hope knowing
what it is not will help you advance a little faster