Every time I log back into the game, it returns my agent to the settlement(free zone)?
Is this supposed to happen?
Why cant i go to the last saved checkpoint?
If you're in the middle of a mission or an activity when you sign out and you log back in after a while, you will be fast travelled to a settlement or the BoO.
The "checkpoint reached" notifications you see in the bottom of your screen only apply to your current session/server. Switching server or logging out always transfers you to the closest safehouse or settlement.