Recently used documents aren't restored in Adobe applications on Mac OS X 10.7 (Lion) when "Restore windows when quitting and re-opening apps" feature is enabled.
The System Preference for "Restore windows when quitting and re-opening apps" is a new feature in Mac OS X 10.7. Adobe software currently doesn't support this feature.
This feature requires new code to work properly, Adobe is researching adding this functionality for inclusion in future versions of its products. This preference is found under System Preferences > General > Number of recent items > Restore Windows When quitting and re-opening apps.