Yes, the state of auto-connect will be saved with the DAW project, but I am not understanding what your mean by “then to set it to ON again when opening another session”.
You’ll want to save all of your DAW projects with auto-connect off. Then when you open then DAW project, you select the H9000 “connect” button on the left side of the screen to connect to the H9000, not the auto-connect button.
If you follow these instructions, auto-connect should never be on and every time you open a DAW project you’ll need to open the Emote plug-in window. Emote should be in the Devices View and when you click “connect” you should see the state restore prompt.
It is best practice to also save a copy of the H9000 session for each DAW project. The state restore is simply saved in the DAW, and saving the Session is a more reliable way to save/recall your settings.