When you copy a .hex file to the micro:bit, it is processed by the USB chip on the device and passed to the CPU where it is interpreted as code that the micro:bit can run by itself. As it is passed to the CPU chip it will dissapear from the MICROBIT drive.

hex file dragged and dropped to micro:bit, then is removed after processing

This is normal operation. Whilst the micro:bit shows up on your computer itself as a drive, like a memory stick, it is only pretending to be one to make it easy to copy a .hex file to the micro:bit device. Once the file has been processed, the micro:bit resets itself, which means it will eject the MICROBIT drive from your computer and re-add it before starting your program.

It is also possible to flash the micro:bit directly from the browser, which means you do not have to copy the file across manually.