IE9 does not delete cookies when set to delete all history on close

I have IE9 installed in Win7 x64 Ultimate.

I have the Tools / Internet Options / Browsing History set to delete browsing history on exit. I have checked off all the possibilities. (history, cookies, etc).

Steps to Reproduce Bug:

I sign into Gmail.

Close the browser without signing out

Wait 30 seconds for IE to finish its closing out business

Relaunch IE9. Go to www.gmail.com

It will already be logged into your account.

IE8 worked fine with this. IE9 does not. Can others reproduce this?

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