This is a combination of the columns shortcode (all columns shortcodes, regardless of plugin) and the Classic Editor in WordPress. The plugin tries to remove the empty paragraph tags if it can.
Try spacing out your content:
[shortcode]
(empty line)
Your content in here
(empty line)
[/shortcode]
In classic editor, i don’t have that problem. I tried Sections inside of Gutenberg and i have this kind of problem when i move from visual editor to text editor.
<p>[shortcode]</p>
Your content in here
<p>[/shortcode]</p>