Auto Save is active on exit (vfs & options). As my hfs.ini and hfs.tpl didn't exist because they were deleted, on exit HFS had nothing else to save but the "default" settings and template.
But that's not the point. Something better should be done with that shell option that caused this problem - a warning, a backup option, deleted to the recycle bin, or something so that the recent files could be recovered.
HFS should not just delete files making them unrecoverable without first giving a notification and option of either yes or no. Not to just go ahead and delete things behind your back.