I must admit that I'm not able to test these things myself, and I seem
to remember having a little difficulty doing the same thing you are. It
was roughly a year ago when I was fighting this little battle, so I'm
trying to remember if I solved it, and if so, how I did.
A quick search shows this:
http://askubuntu.com/questions/30931/how-do-i-make-a-program-auto-start-every-time-i-log-in
which has another little trick we haven't mentioned so far in this
thread, using gconf-editor to remember application state (which ones are
running) between sessions. You may try enabling that and see if it will
kick in on the autologin. There should be similar settings for KDE (a
switch to remember last session), and the other desktops. Last I
checked, Unity still depended on Gnome, so you may be able to do the
gconf trick.
Hope that helps,
Joseph