Before few days Win E used to open Directory Opus. Now, it opens File Explorer. I am using Windows 10 Pro 21H2 with latest updates installed.
I have set the correct option as "Replace Explorer for all folders" in Preferences / Launching Opus / Explorer Replacement and even selected something else on the page and reselected the correct option so Directory Opus rewrites the settings if that is of any help. I tried "Replace Explorer for all file system folders ..." too but that also opens File Explorer.
It's working OK for me on both Windows 10 (21H2) and Windows 11 (22H2)
The Win+E hotkey is configured under Preferences / Launching Opus / From the Win + E hotkey. Make sure that is set to open Opus, in addition to any Explorer Replacement settings on the other page you were looking at.
Also, make sure you have not launched Opus elevated, as that breaks the ability for the rest of the OS to ask Opus to do things. See Why NOT to run Opus as Administrator under UAC for detail.
If it still doesn't work, reinstall Opus over the top of itself in case something has broken the registration of one of the components. (Don't uninstall, as that would wipe your config; just run the installer again.)