Have you confirmed that the copybook files have been downloaded into the correct folder and with the correct file suffix?
Have you correctly defined and opened the required yaml file required by IBM z/O/pen Editor that points to the correct local file location for your source and copybook files.

You might want to review this diiscussion thread from 4 years ago on Github regarding this: Using z/Open editor to edit a local CBL file with an associated local CPY file - possible? · Issue #103 · IBM/zopeneditor-about · GitHub

Please note that once files are downloaded and you then view the file in the right hand pane, you are then in z/Open Editor and not controlled by the ZMF Explorer. 
Control only returns back to the ZMF Explorer when the right hand source window is subsequently closed.

Hello Davis,

Yes IBM Z Open Editor points to the correct Folder location and the zapp.yaml is correct. With ZOWE it works without any issues. Only if I open the PGM with zmf it gives me the error messages

Pease confirm that the copybooks have been downloaded and that they have the correct local file suffix.

Also provide the full screen shot of the actual error message - as it appears to be cutt off with "Unable to find copybook file" and the word lexing.

This is not an error message from ZMF Explorer.  As I mentioned once you open a source file, control is under the editor of choice - in your case the z/Open Editor. so if it isn't finding copybooks where it expects to find them then that would lead to problems.

With Zowe

It searches in 1 Library and finds all Copybooks:





With ZMF



It searches in every Library but doesn't find any thin.

You appear to be presenting a folder of folders to search rather than the specific folder where the copybooks reside. 
What have you specified in your yaml file as to where to go find local files?  Are you using a glob expression to search all underlying sub folders etc? For performance reasons IBM recommend that you limit the number of sub folders to search

I think you may be best to open a ticket with the z/Open Editor folk at IBM as this is not a ZMF Explorer issue as the error message "Unable to find copybook file"  is being emitted by z/Open Editor