Parallels Windows ARM11 - downloaded files deleted instantly by system

For the last to days something strange happen in my Windows 11 for ARM (24H2) running in Parallels (20.2.2 55879).
I'm using my own download manager (I wrote it by myself) - this is x64 application.
When I download a file - PDF - it appears for a fraction of second in "downloads" directory and is automatically deleted from it.
I can even see it in Windows Explorer - file appears and 0,5 sec. later - disappears. And it happens with every type of file not only PDF.
As download manager is my own production - I'm 100% sure that the file deletion is not executed by my app (it does not have any code to delete any file).
I've got copy of my virtual machine from 03.03. - and when I run this "old" machine - first everything works perfect for a few minutes (10-15) but after that - without restarting Windows - this issue starts again by itself.
My download manager is code signed with valid certificate. So there is no problem with running it on Windows.
Windows is not updating itself, as I turned off any updates.
I don't use any additional antivirus or firewall applications. Just pure Windows Defender. I turned off "Reputation-based protection", "Real-time protection" and any other Windows Defender options that are connected with "scanning" or "blocking". I added my app to "exclusions" - but nothing helped.

So I did last test - once again started save copy of my machine but with disabled internet connection. Waited some time - turned on connection, tested downloading file - and it worked. But after a few minutes - the same download - file deleted from "download" directory.

The same download manager working on Windows 11 x64 - there is no problem.

Can anyone help with this issue? Any suggestions ?

 

I tried another possibility to check where is the problem.
I reverted Parallels to version 20.2.1 55876.
I used the same copy of my Windows 11 ARM machine from 03.03.
And problem occurs after a few minutes of connecting to internet. Firs - downloading works fine. After a few minutes - files are being deleted right after download.
So it seems that this is not Parallels update problem - rather Windows.
I hope someone here could help me, please.