Hi Alex -
Yes, I tried it and got the same behavior. As far as I can tell, that's the way it's meant to work, until you record the Tempo changes -- then Logic will pick up the current Tempo wherever you start playback.
The article linked below details the Tempo Fader setup [which you've already done] along with the procedure for recording and playing back the Tempo changes -- it does mention that [before Tempo changes are recorded] the Tempo reverts to the original Tempo on restart, so I guess that's the normal operation..
Note: I did get some weird behavior.. When I recorded Tempo changes by moving the Environment Tempo Fader directly [with the mouse] it worked as advertised, but if I tried recording Tempo Changes by moving the external MIDI hardware slider assigned to it, it moved the Tempo Fader but did not record the Tempo events in the Tempo ruler, it only recorded the controller events into the Tempo track lane [as described in the article], and while it played them back, the playback cursor stopped moving at the beginning of that Region, and then the playback cursor wouldn't cue up to a bar past the Tempo controller Region, and MIDI playback became spotty!
Buggy, but maybe it'll work better for you [Apple hasn't really supported the Environment in years other than to maintain its current state of operation for legacy Projects, and there have been many bugs that have showed up in it over that time] -- at least it did work when moving the Tempo Fader by hand in the Environment window..