So here’s how it works. It takes your selection and assumes that you want to open that as a file (or files). If your selection contains spaces and doesn’t have double quotes, then each space-separated “token” will be considered a different file. If each token doesn’t contain path information, Notepad++ will attempt to open that “file” in the current folder (which in the portable install I use, is the folder that Notepad++.exe lives in). If the “intended” file isn’t found, Notepad++ will prompt to create it.
I think this as described is what you are seeing. I don’t think of it as a “bug”, but maybe just something that is less than ideal. :-)
If you are going to use this feature, I’d suggest being careful about what text is selected when you activate it.
Contrast this behavior with the right-click (in a document tab window) entry Open File. There, if you have a similar selection when invoking the feature, you get a popup box that says The file you’re trying to open doesn’t exist. Perhaps it would be better if the Run menu’s version worked similarly…