Ok, that solved it. Thank you. But this certainly is not the most intuitive setting and it would have taken me a while to figure it out on my own. How about renaming it "Clear Contact Sheet selection when Preview closes"? "Rescan" is very ambiguous.
While we are at it, is there are way to automatically trim the contact sheet to show just the files that meet the search criteria? Right now it is a two step process: close the search dialog, choose "Selected". It is probably safe to assume that if someone is performing a search, she/he wants to see just the results of that search.