To clarify that issue:
The connections (including searches and bookmarks) are stored in the connections.xml. This file is written whenever connection or search parameters are modified.
The connections.xml is stored in the workspace folder:
So when exiting and restarting LS the connections are still available, as long as the workspace folder isn't deleted and the same workspace folder is used.
By default the workspace directory is created in your current working directory. Another option is to specify the workspace location using the -data command line option:
"LDAP Studio -data <path to the workspace folder>"
The new feature is intended to be used if you are using different workspaces and you don't want to create all the connections in all workspaces. Or for us LS developers, if we clean our runtime workspace during development we are too lazy to create the connections again and again
As a workaround it is possible to save the connections.xml from one workspace and copy it to another workspace folder. Keep in mind to recover the complete directory structure!