Not really clear the reason for this behavior, although you can found that a lot of people is asking the same question about the issue if you google around.
IMHO the reason is that the GDI+ library use file mapping to access the bitmap data and the image metadata. Mapping the file expose its contents as a standard memory area, but locks the file also as side effect.
If you load the image using a stream it allows you to close the file, but doing this will expose spuriously generated errors of type: "A generic error occurred in GDI+".
The only solution, and the also the only correct one, is to make an image copy from the loaded one and dispose the original image.