Tempdb data file disappearing
(Consolidating the comments into an answer, so it's more easily consumable by searchers.)

It appears this is related to not granting the appropriate permissions to the data container when moving the location of the physical files. Without having tried it, I believe this would also apply to user databases, not just tempdb.

I have an old, but still technically accurate, video on how to move all the system databases (not just tempdb) here, which includes showing the process of assigning permissions to the new data container. The database engine requires Full Control on This Folder, Subfolders, and Files starting at the data container root.

After the permissions are set correctly on the data container, the dangling files should be removable from the system catalogs using ALTER DATABASE ... REMOVE FILE ....