It does not.
You need to call skeleton.SetToSetupPose
if you want the skeleton to go back to setup pose. or skeletonSetSlotsToSetupPose
if you only want to reset slots.
The reason behind this is that some people may not want it to return to setup pose, especially if the skeleton is dynamically controlled or has multiple layered animations.
You can bind skeleton.setToSetupPose to AnimationState's Complete event and that will cause it to return to setup pose when an animation finishes.
You can also use the End event instead if you want it to happen even when the Animation was only interrupted and didn't finish completely.
In C#, it looks like this:
void Start () {
skeletonAnimation.state.Complete += delegate {
skeletonAnimation.skeleton.SetToSetupPose();
};
}