Its not a feature of PPRo.
How/where do you open your Projects from?
It happens both when I save to my apple desktop as well as my lacie 2tb external hard drive.
So you are launching from the desktop ( a project Icon)?
I have some projects saved on my desktop that I launch from, some from my external hard drive. It happens on both.
Try launching from within Premiere using "OPEN"
FWIW - I have a Projects Folder that contains all my PPRO Projects. Its on a dedicated drive and not the Boot/ Applications Drive.
I assume Desktop would be on the Boot drive.