You are facing this problem on Windows or Mac?
Personally I am facing that problem on Windows
TL;DR - Only click .epub one time, then when you want to read it again Open Adobe Digital Edition do not click .epub again.
I know this is coming a little late but I just recently uploaded Adobe Digital Editions this year (2017). There is no problem with the software; what is happening is that every time you click a .epub file ADE makes a copy of that .epub into the Library. Once the .epub is in the Library you no longer need the original .epub file; you can trash it. When you want to read the .epub again click on the ADE icon and go to Library and your book will be there. If you want to see your .epub files in "file explorer" go to [File] > [Show in Explorer]. Here you will probably see many copies of the same .epub if you kept seeing the "copy the book to the Library"