I think Firefox will auto-open the sidebar in every new window if it is open in any existing window. Can you check to make sure it is closed in all windows?

If you suspect a hidden window, you can use the Firefox View page > Open Tabs list to view open tabs per window and switch around. To access Firefox View, click the "file drawer" button at the left end of the tab bar or, if you removed it, you can type or paste about:firefoxview in the address bar and press Enter to load that page.