@Adam-Narkiewicz ,
(sorry for the slow reply: when I first read your post, I was in the middle of something, and couldn’t go looking for the issues, so I hoped that someone else would reply with similar information. Since no one has, I am doing it now.)
Honestly, I believe the bug is in step 5: it shouldn’t do that “check for underlying file existence” when you tell it to Close All (or when just closing one file, as in Issue #11866; or when you tell it to reload a file, as in Issue #18718). The developer tried (per this comment) to find a way around this, but hasn’t found a viable solution yet.
After asking whether to keep a file in the editor, Notepad++ closes it no matter what my answer is.
For me, since you already said “close all”, I don’t see a problem in Notepad++ closing it. I am not convinced it should’ve asked in the first place.
Fortunately, if there are unsaved changes – so if you’ve edited the file, so there are unsaved changes to the file that doesn’t exist anymore – it will interrupt the process and ask you to save it, and when it fails, it stops the process (not the best solution, but better than losing data). So this oddity at least won’t let you lose unsaved changes accidentally when doing Close All for files that have disappeared. So that’s something.
asks me whether to keep some deleted files open, but not all
That does seem problematic, to me. I guess after doing the single check, it finally believes your request to Close All meant to Close All.
In conclusion: Since Issue #11866 exists for the single file-close, I don’t think this needs a separate official issue. I’m glad it’s “not particularly annoying” to you, because it could be a long time (if ever) before a solution can be found.