I completely agree with rhapdog.
There is the configuration setting Close all files when opening or switching projects at Advanced - Configuration - File Handling - Miscellaneous and I suppose that this setting is enabled by default because most users working with projects work like rhapdog and I.
When on start of UE or UES last used project is reloaded, but we want to work now on a different project, we just open the other project and UE/UES first closes the loaded project, second closes all open files from that project, third opens the project we want to work with now and reloads the last opened files from that project. We don't want that files of project A are still opened after switching to project B. And when we create a new project we want that first all currently opened files are closed, and then we setup the new project.
You prefer the opposite. You first open all files you want in a project and then you create a new project and want to add all open files to this project. That is possible when unchecking the configuration setting posted above. But this method is definitely not the preferred one for most users working with projects and therefore the configuration setting is by default enabled.
Best regards from Austria