Using Lync for Mac, when I get disconnected for whatever reason from the server, all the conversation windows get closed when signing in again. This is the different behaviour to the PC version - is there a setting I can change?

Please check this issue on other MAC computer, if all other Lync for MAC have this problem, then it is the expected behavior.

I can confirm that this happens on another Mac computer, but almost certainly no user would want this as their expected behaviour. It means conversations randomly close when you temporarily loose your internet connection for a few seconds - often without the chance of seeing what the other person has typed.