All the filenames in the recent menu list have the KST install directory prefixed on them. For example, if I use file->Open to open "C:\David\foo\bar.kst" then the recent menu item is added as "bar.kst" and the status bar shows that is "C:/Program Files (x86)/Kst 2.0.7/C:/David/foo/bar.kst". If I try to load it from the recent items menu then it fails saying "Error opening document: 'C:/Program Files (x86)/Kst 2.0.7/C:/David/foo/bar.kst' File could not be opened for reading".
Hum, I think I know why. I made a mistake when I last changed something there, I forgot that Windows uses backslashes and not slashes... and I tested only on Linux.
Fixed in git master https://github.com/Kst-plot/kst/commit/e978b571219f84460d2d1206cd9857cb45076d9c