As each debugging session begins the content of the immediate window is cleared. The immediate window is great for being able to set variables, see the effect of, say, string concatentions, regex expressions, etc. It would be useful to keep these entries so they can be used in successive debug sessions (I'm not referring to keeping them between restarts of the PHPEd itself).

Is there an option I can set to prevent the immedate pane contents being cleared each time?

Yes, that is something that has bugged me for a long time. Actually, it is one of the first things about PhpED to annoy the hell out of me. I use VisualStudio as well and that keeps the immediate panel contents through out the whole session; very useful.