I was wrong. It tuns out that I do have something that automatically deletes temporary files. I just switched from “Norton Internet Security” to “Norton Security Deluxe”, and apparently one of the new features is automatic cleanup of temp files.
If the cleanup algorithm is stupid enough to delete files that are just a few minutes old then this is a really bad implementation. I assume the Duplicati file was pretty big, and as such a prime target for cleanup, but Norton should not delete files that are just a few minutes old no matter how big they are.