The last pilot used is stored in the registry (on Windows anyway), and if that pilot was a multi pilot then it will default to the multi player select screen rather than single. You just have to be careful of that and change it yourself if needed. Though it is technically a bug, it's a by-product of the design of the whole thing and aside from eventually moving to a ini file instead of the registry for Windows, there isn't really anything we can do about it.
The game is supposed to create the players/* directories when it needs them though. I have never been able to properly determine why it will mess up. I've made various tweaks to try and prevent any problems, but since I have never been able to replicate the problem myself, I haven't been able to figure out the exact cause.