Your comments

Seems like this is been ignored. But I'll post the script I use the create the symlink:

sublimeDir="$HOME/Library/Application Support/Sublime Text 2/Packages/User"

if [ -d "$sublimeDir" ]; then
if [ -L "$sublimeDir" ]; then
rm "$sublimeDir" 
rmdir "$sublimeDir"
ln -s "$HOME/Dropbox/Apps/SublimeText/User/" "$sublimeDir"
I agree that SF2 shouldn't open new window if there's no window opened when I shutdown the system.

If this isn't possible there should be an option to not start SF2 with Lion's Resume feature.