It is probably the same as DVD players. Not all DVD players remember your position in the film after turning the power off. My Philips DVD player I have had for years doesn't. As long as I leave the power on, it will remember the position, but once I hit the power button to turn it off, I have to manually find the spot I left off at once I wish to resume watching.

I doubt it would be something you can change in the settings, if a Blu-ray player had the ability to remember where you left off at, it wouldn't make any sense to have an option to disable that feature. What reason would someone have for ever wanting to turn that feature off?