Windows CopyFileA fails then succeeds

I have an issue when trying to copy a file to a folder with specific permissions.

Here is my very simple test program:

#include <iostream>
#include <windows.h>

int main()
{
    if(CopyFileA("D:/SOURCE/File.txt", "D:/LOCKED/dst1.txt", TRUE))
        std::cout << "OK\n";
    else
        std::cout << "Fail\n";

    if (CopyFileA("D:/SOURCE/File.txt", "D:/LOCKED/dst2.txt", TRUE))
        std::cout << "OK\n";
    else
        std::cout << "Fail\n";

    system("PAUSE");
}

And here is the result :

Fail
OK

I can copy as many files as I want. For each run, the first always fails and subsequents always succeed. The error is ERROR_ACCESS_DENIED.

Here is the important detail: my destination folder has restricted permissions and this behaviour occurs only if I remove "Write attributes" or "Write extended attributes".

I used sysInternals' Process Monitor: no other process is accessing source nor destination file. However, behaviour on destination file are not similar. The first attempt close the file and try to reopen it. Here are the logs:

EDIT1:

Here is get-acl D:\LOCKED | fl response:

Path   : Microsoft.PowerShell.Core\FileSystem::D:\LOCKED
Owner  : BUILTIN\Administrators
Group  : KJ-WIN10\None
Access : Everyone Allow  CreateFiles, AppendData, ReadAndExecute, Synchronize
Audit  :
Sddl   : O:BAG:S-1-5-21-1983668899-2794625975-2151939504-513D:PAI(A;OICI;0x1200af;;;WD)

You can reproduce full behaviour (folder creation and file copy) with my C# example program at https://github.com/KiwiJaune/CantMove/blob/master/Program.cs.

EDIT2:

Here is fltmc result on one of the several tested PCs:

I discover that it always fails on D:/ or flash drives, but succeeds on C:/, no matter if D: is another physical disk or a partition on the same disk as C: ...

I have the same behaviour on 4 PC tested (3 Win10 & 1 Win7)

Is there a Windows known behaviour ? Thanks in advance for your ideas.