When you say "it will go back to the last album I played", does that mean it shows Display View for the last played Album?
Does playback start?
If you had "Options > Startup > Startup Actions > Start playing current playlist" set, and had "Options > General > Behaviour > Jump on play" set to "Display View", or "Playing Now", or whatever View you are seeing, then I think that is what MC would do.
Yep, I just tested. Reopening MC results in playback starting, and MC jumping to Display View, as per settings.
You could stop that behaviour by setting "Options > General > Advanced > Clear Playing Now on exit". The setting "Options > Startup > Startup Interface > Location" would then work as intended again, as Playing Now would be empty and there would be nothing to play, so MC doesn't jump to the View you selected in "Options > General > Behaviour > Jump on play".
If that isn't exactly what you are seeing, it might give you a hint.