Why does setting initialFirstResponder have no effect?

Welcome to Cocoa! :) I suspect this is happening as part of the new user interface preservation features in OS X Lion. (In fact, I just created a simple app with 3 text fields, and I see this behavior too.) Because windows automatically restore themselves, you will see a lot of this behavior happening automatically even if you didn't implement it. This is probably desirable — most applications will work this way, and the user will come to expect it.

However, if you really want to disable it, you can probably do so by subclassing NSWindow or perhaps NSTextField and overriding -encodeRestorableStateWithCoder:. But, I definitely recommend you leave the default behavior alone.

---

Edit with a little further information: the app state seems to be stored in ~/Library/Saved Application State/com.yourapp.savedState. There you can see a plist file with information about the windows. The other files don't seem easily readable, but they probably contain information about which field is first responder, etc.