Game will not save after exiting. Have sleeping bag.

I pick a server, play the game for a few hours, get a house sleeping bag, etc. If I die while playing, I can respawn to the sleeping bag, no problem.

Whenever I shut the game off it is like all of my progress is gone. I don’t have the option to respawn at the sleeping bag.

Am I shutting the game off properly? Not picking the correct server?

Any help would be appreciated. Every time I shut off the game, no matter what I have, I start again at ground zero.

You do realize once you leave a server, it deletes all the props you have made?