Ah never mind. Solved this myself too.
I clicked on the V icon at the bottom-left of the screen, clicked on Settings, then Desktop Settings, clicked on Appearance tab and selected "Allow XFCE to manage the desktop".
Then I clicked on the "Sessions and Startup Settings" menu item some way down from the "Desktop Settings" menu item, clicked on the General tab and enabled "Automatically save session on logout"
Hope this helps anyone else who faces this issue.