It doesn't seem like it. No option for that in settings. It must be either a bug or a bad design choice. It means that if you hide your identity to a website, then restart your browser, suddenly your identity isn't hidden any longer. You have to notice the little gray cross in the corner and remember yourself to switch it on again (if you do, it's at least only just after starting Firefox that your identity / location is revealed).
Would be great if the browser either asked *before* loading any web content, or just turned it on automatically when it was turned on before closing.
Of course this is all in the context of having had this free VPN offered by Mozilla in the first place, which I'm very thankful for.