Thanks for the settings details, GAbriel.
I have tried to replicate your problem, using all your lesson settings, and everything is fine, i.e. when a student leaves a lesson before the end, they get taken to the last page they saw.
If you want me to pursue the matter, please email me (my email is in my profile) and attach a copy of your Lesson so I can try it out on my local Moodle 2.5 test site.
Joseph