I've had it happen a couple of times now that I've forgotten a private window open when closing the normal Firefox window. All tabs lost. Fortunately I can still find my previous session with 100+ tabs in history->recently closed windows, but this shouldn't happen in the first place.
Like the title says: when I close the last normal Firefox window, it should be the one that gets saved as the session that gets reopened on next launch. Private windows shouldn't affect that process in any way.