How to save session in Firefox?

The red dot is not Quit.

This is the first big thing you need to learn about Macs. The red dot closes the window, it does not quit the app. [Some single-pane apps will auto-quit on close - System Prefs etc, but this is not the rule for document-based apps].

if you want any app to remember its last session - which all well-behaved apps do these days - then if you want to quit, use Cmd ⌘ Q [or Quit from the application menu].

This applies to within one session, or through reboot/shutdown/boot too. All Apple apps will return to the last-used state, even if there were unsaved documents.

Closing a window, with the red dot or any other method, removes that window from the 'last session' information & breaks your workflow.

Some browsers may have a 'get out of jail free' card. In the History menu will be a 'restore all windows from last session' or similar wording - don't rely on it, but sometimes that will pull back windows you had manually closed. There may also be a 'recently closed' item &/or 're-open last tab' which might let you step back tab by tab to get your closed pages back.