Rythmbox currently does not remember the last item you were playing. Specifically, I really only listen to internet radio, and pretty much one station all the time. When I open Rythmbox, I have to select the radio station each time I open it, rather then just being able to right click the panel icon and choosing play. 
I see that, if no specific file is selected, then this process should playback the last played song/radio station/podcast, rather then start at the music collection.

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