Yep, only way it works is if I previously selected a Perspective for which I have saved the column view. It seems that the column view setting does carry over after selecting a Perspective containing that column view, even if I select a project that is not part of that perspective. But, I have to select the Perspective first.
Think of the perspective as an initial set of settings for a window. OF will set up the window (new or existing depending on what you choose for "always open in new window") according to those settings, which include sidebar selection, window size, column choice, etc. They will stay set for that window until you change that window, whether by clicking on different sidebar items, resizing the window, adding or removing columns, and so on. Even then, the only changes will be the ones you make.
Note also that if you open up multiple windows with the same perspective, then edit the view options for one of them, such as adding or dropping a column, it will not influence the other windows.