The thing you need to understand is that rsyslog is highly optimized. As such, it does not persist anything to the disk unless there is need to. Unless there is need, everything is kept in main memory. Need arises when either a) the main memory queue is full or b) rsyslog is terminated (in that case, it can no longer hold anything in main memory for obvious reasons...).
What you see after your first run is b) happening. The queue files are created because you shut rsyslog down. Upon restart, it reads from the files. Then, when the remote machines comes back online, file data is read and sent. From then on, the in-memory queue takes over and the disk files can be deleted.
You can find an in-depth look at how it works in the rsyslog queue doc:
http://www.rsyslog.com/doc-queues.html (but be warned, this is a deeply technical document).
The bottom line is that what you see is evidence that everything works as intended. There is much more going on under the hood, like changes in threading model when running on-disk vs. in-memory and such things. The good thing to know is that it happens automatically.
Rainer