The truth is that I have tried everything, now I am going to try to add a horizontal rule at the end of each file, I have seen that the error does not occur when the file ends in a code block, only when there is text at the end.
I don't think it's a bug. Or at least I wouldn't expect my markdown interpreter to handle this case. EOF bytes in a string are not treated as white space characters, which leaves you with the expaned docs of roughly:
See the bif "param" for more information on parameters.\x04{:* comment *:}\n===============
Yes, editors can do strange stuff with file endings. Setting insert_final_newline = true in your .editorconfig would tell VSCode and most other popular editors to insert a final newline character at the end of the file. Personally I'd find relying on editor configuration too brittle though, so I'd just insert the extra empty lines in my docs between the files with //!, just to be sure a missing newline character at the end of a file doesn't resolve in a bug in my docs.