If the answer is yes, but you don't actually create a persistent store does that mean that all changes are lost at the end of the session as with the LiveCD ?
Yes - if you want that capability, it has to be set up to do it. I use Knoppix 6 from a hard drive, very similar to a "poor man's install", though it's actually done with the "flash install" routine. Since I created an encrypted persistent store, I am prompted for the password on boot, and if I don't supply it, I get a "vanilla" Knoppix system without any downloaded programs or recent system state information. That way, I can check my recollection of what things are like for newbs, e.g. where to find things I have eliminated or moved, etc.

Cheers!
Krishna