With DVD's it works slightly different compared to CD's. Leaving a session open seem to have no effect (I don't understand why this option is avaliable with DVD anyway), and this option should not be used with DVD's. In my settings it is always selected (to close/finalize CD).
The way to continue with a DVD "session" is to first import the old session: Edit -> Import Session (or the icon at the top with 2 "boxes" and an arrow). When you import this you will find your "old" files imported and blue in the filelist. Then you can add files to that and burn.
I hope this helps
Regarding the "Finalize disc" option and DVD's, maybe someone else can explain if this has any relevance to DVD burning, and if not why it's there? Thanks