Actually, there is one way in which the pages can remain rotated even after you close and then re-open them in Reader, and it's probably what's causing this confusion for many users. If you have the "Restore last view settings when reopening documents" option enable under Edit - Preferences - Documents then Reader will remember that you rotated the page view and will show it like that the next time you open it. This might cause a regular user to believe they actually did rotate the page, when you and I know they in fact didn't (as Reader is uncapable of doing that, as you correctly stated).