Welcome to the Community,
it's not uncommon to create VM's with their virtual disks (.vmdk files) on different datastores. This is often the case for e.g. database servers, where the OS disk is on "slow" storage (e.g. a HDD), but the database, and log disks are on fast storage (e.g. SSD). Another option to distribute .vmdk files across different datastores is to use e.g. storage vMotion.
HA and DRS do not change the VM's .vmdk location. Storage DRS might however contain rules to place .vmdk files on different datastores.
Don't worry. It is not an issue. Storage DRS may place the vmdk files in different datastores.
While it's not necessarily a problem and other features can result in this situation, you can also prevent it from happening. When creating a disk, you have the option of selecting "store with virtual machine" and then the specific drive would stay with the VM machine files.