The .hex file is processed by the micro:bit and interpreted as code that it can run by itself. Once that happens, it is removed from the device to free up memory.
This is normal behaviour; whilst the micro:bit presents itself as a storage device like a memory stick, it is only emulating one. Once the download has completed and the drive ejects, your code is now running.
For the advanced user, there are ways in which you can access the micro:bit filesystem using the editors and you can find out more about how the underlying hardware and software work on our tech site.