I have the same problem, but for me it's even worse.
I tag my files with several tags, one might be "needs processing". Opening a Finder Saved Search for all files with this tag brings up all the files I need to work on eventually. Open one in Affinity Photo, work on it, then save -> file is gone from the Finder Search Results Window. Searching for the file by name finds it eventually (if I cannot remember its name, I have to Open Recent from within Affinity Photo (why can't I context click on the filename in the title bar and the folder path pops up???). The tag "needs processing" is gone (that is ok in this context), but what were the other tags that I had assigned?????? This is really bad, please fix it asap! I am running El Capitan 11.3 with Affinity Photo 1.4.1, all the latest as of today.
Thanks for listening (and a quick fix :-)