>>Is network involved in some way? That is application data is being hosted on one computer (either an actual physical one or virtual one), and they're being accessed from another. In that case there are the usual suspect such as SMB and caching settings.
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>This is exactly the situation. The application .exe and all meta data files, data container, etc. are on the VM drive. And the application runs from a desktop (by loading an executable from the shared driver on VM). I will search though all the messages where SMB is mentioned.

It could be just the windowses' habit of trying to help you because you're too stupid to know this yourself... you see, the handles to these files were left unused for too long, you're obviously not using them too much, and they are draining the system resources by probably a whopping half kilobyte each... Here, windowses have closed them fro you, no need to preoccupy your pretty head with technical dirty little details of the sort. Everything's fine, enjoy your experience with a windows!