MC has changed a lot since version 18. When you close MC, it does a bunch of stuff before fully closing. There is probably more of that stuff in MC21 than there was in MC18. There have also been a lot of changes to the handling of transitions between audio files. It can take as long as 30 seconds to fully close MC21. I'm pretty sure you are trying to open a new music file while MC is still closing. When it has finished closing, the next click on the file re-opens it and starts playing your music.
But why do you close MC anyway? If you wish to use the same method you have previously, clicking on files in Windows Explorer I assume, then just minimise MC, click on the new file, and it will play immediately. Or just Alt-tab to Windows Explorer and click to play. Or set up Windows Explorer and MC side by side on your PC screen so you can select files to play while MC and Windows Explorer are visible.
But even better, why not learn about the MC interface, particularly the Standard View interface if you are using MC just for audio, and use MC to find, select, and play your music? In fact, learn about Playlists and start to use them. Or even just learn how playing now works, so that you can listen to music while deciding what to play next, and just add it to MC's Playing Now at the bottom, or add it to play next ahead of earlier selections, or have your new selection completely replace the list you had already created.
If that is too much, open in the left navigator of MC the "Audio>Files" item and drill down to your audio files just like in Windows Explorer. If your audio files aren't imported into MC, and that is why you use the method you currently do, then open the "Drives & Devices>Explorer" item and drill down to your files, exactly like using Windows Explorer.
No offence, but the way you are using MC is like buying a car, and then pushing it around instead of driving it.