WinSCP removes text file after opening another one

Hi, I am currently working on a website and I use Visual Studio Code as text editor. The problem is, if I have only one file opened at once everything works fine, but when I add 2 or more files, first one gets removed with attached error.

Please make sure you have not turned on "External editor opens each file in separate window (process)":
https://winscp.net/eng/docs/ui_editor_preferences