Usenet Explorer

Steps -

Search on something (using the server)
Import headers (enter)
Close UE

When UE is opened again the import folder is empty.

headers are not marked for download?

check retention for the import group (if it is default it will use the "default" entry retention) in properties->newsgroups.

the reason retention can be defined for the import group - otherwise older headers will stay forever and there was a case with some heavy downloader when for a long time the group got so big that it started take longer on load (the import group is not compact binary type since as a rule its size is limited and also many import groups can be created and no sense to keep it very large, so it loads everything into memory like message-id newsgroup destination type).

but as usual if headers are marked for download or flagged they won't be cleared on applying retention.