The idea of having more than one independent sandbox or even multiple sandboxes used for different tasks has been suggested numerous times.
Unfortunately this has never been implemented, but never give up hope.
Now there is only a choice between keep all or erase all.
And the manual is wrong.
If we are suggesting the following quote taken from the help file is misleading and incorrectly worded, yes I totally agree with you.
The current wording in my opinion is not an accurate description of the actual results caused by closing VD.
[url=https://help.comodo.com/topic-72-1-522-6283-Closing-the-Virtual-Kiosk.html]Closing the Virtual Desktop-Comodo Help[/url]
[b]Note:[/b] Remember to save the changes before you exit the Virtual Desktop. Your changes will be lost if you exit the Virtual Desktop.