There's a bit of confusion around what the BACK key does on Windows Phone 7. Sometimes it the app you're in saves its state and other times it does not. Just looking at the replies to this video you can see that some people think the guy in the video is doing it wrong:

"You are actually doing it wrong. When you exit out of an app using start button then you can go back to that app with the state it was in using the back button at that point in time. For example - you are in your ebay app and then say you click start button then you are taken to launch screen. If at that point in time you want to resume ebay app you should just click back button instead of goin to actual app and clicking it because in that case you are actually restarting your app."

It looks like Microsoft has not drawn a hard line on how developers are supposed to use the Back button. Hopefully, they'll get this issue fixed ASAP.