I see — I think I know what’s going on here.
On macOS, when you click the x to close an open window, it closes all tabs in that window, including pinned tabs. This appears to be intended functionality, given that I see the same behavior in other Chromium based browsers on macOS (tested on Chrome, Chromium, Opera).
I believe this is because, on macOS, clicking the x simply closes the window, but does not end the program/process. So when you click to launch Brave again, you’re essentially opening a new window rather than re-launching the one you previously had.
However, if you quit the process (right-click on Brave icon in the address bar, then Quit), this does end the process — then if you relaunch the browser by clicking the icon again, it will launch the browser in the previous state before you quit the process (which will maintain your pinned tabs).
While it may seem silly I do think it makes sense for the OS. Note that this same behavior is not present on Windows OS, because clicking the x in Windows does end the process.
Hope this helps!