The Add Active File command in the Project menu is only available if the active project is managed and the active file is an outside file. An "outside file" is a file that is open under the project's tab, but is not actually part of the project. When a project is closed and reopened, outside files are not remembered. Use the Add Active File command to make the file a part of the project, so it will be remembered by the project.
If the active project has many outside files, you can use Project|Add Outside Files instead if you want to make them all part of the project.
Project|Add to Project
Project|Add to Project Unopened
Project|Add Outside Files
Project|Close Outside Files