There is of ways to achieve this behaviour in Rockbox that are described in our fine manual
Just offhand it sounds to me like the Database isn't initialized, because
automatic resume requires an active database to store the resume offset.
It could also be of course that the database is initialized and you have disabled automatic resume.
There is also
bookmarking features, such as bookmark on stop, and update on stop. Note that bookmarking will only work against files launched from the File Browser, however, not from the Database or via dynamic playlisting.
[Saint]