This is expected behavior for the moment, but will be changing. MSR has never had a need to persist entities over restarts because the controllers have the current data. It's not even an issue for MQTT, because retained messages, when used properly, update state correctly on restart/reconnect.
But, I have been using a version of MSR in my own home that persists entities across restarts, for other reasons, and that will also serve to smooth out the bump for event handling here. I still have a few more wrinkles to smooth out... like how to detect when the user has changed their custom configuration for an entity, modified their own custom declaration of a capability, etc. These are rarely-used features, but I nonetheless want them to require less user intervention (e.g. manual forced purge of retention data, etc).