DEVONthink isn’t an editor for modifying files in situ after invoking “Open With”.
Selecting a file in Finder or other application that has access to the file system and using the “Open With > DEVONthink” command will generally result in DEVONthink copying that file to the destination specified in Settings > File > Import > Destination.
Regarding your first issue – what do you see in the location when you look at it in Finder?