This is the standard behaviour with auto-save files in many applications. Their purpose is to get your project back in case of a crash, that is where they remain on disk. If you willingly close your project Cubase (and apps like Word, Excel, etc.) delete these auto-save files, because you decided to not save the project.
If you save the session these auto-save files will also disappear, because now you decided to save the latest state and there is no need to keep these .bak files around. They just clutter your disk.
Edit: Just saw the last post in the linked thread from @Nico5 and it has the exact same explanation.