Hi Tiffany Chua
This the correct behavior. The multi list view provides the facility to open list views in separate tabs whenever you will open any however navigating away will not save those open tabs however Display Multiple Views setting will be enabled/retained for next visit and whenever you will open any list view it will get opened in separate tab.
- Display multiple views: You can also turn on Display Multiple Views to view the selected module in a separate tab. When Display Multiple Views is on, the views are always opened in adjacent tabs and records are opened in the subsequent tabs.