I don't think this is true even when X and V are schemes if you only require that the
map VtoX is an embedding of functors (rather than a locally closed embedding). Example:
Take X=Spec(k[x]), V=Spec(k[x,x−1]timesk), U=Spec(k).
That is, X is an affine line, V is the disjoint union of a punctured line and origin,
and U is a point, which we view as the connected component of V. The natural map
VtoX (corresponding to stratification of X) is a categorical monomorphism: it induces an embedding of functors.
EDIT:
Now we add the assumption that VhookrightarrowX is locally closed. I think the statement still fails,
here's a counterexample:
X will be an ind-scheme: so there is a sequence of schemes Xn related by closed embeddings
XnhookrightarrowXn+1 and
X(A)=limtoXn(A).
In other words, every point of X(A) factors through one of Xn's.
For ind-schemes, a locally closed subfunctor VsubsetX is given by a compatible
family of locally closed VnsubsetXn (so that it is a locally closed sub-ind-scheme). Problem
is, the statement fails for ind-schemes.
Let's take
Xn=mathbbAn, with the embedding XnhookrightarrowXn+1 being the coordinate embedding.
Now let Vn be the union of the origin 0 and n−1 punctured lines
lk:=lbrace(k,0,dots,0,x,0,dots,0)|xne0rbrace,
where x is in the k-th position, and k varies from 2 to n. (Let's say I work over
a field of characteristic 0, so all integers are distinct.)
Finally, UnsubsetVn is the origin, which is a component of each Vn, so it is both open
and closed.
It is easy to see that it is impossible to find a compatible family of open subsets WnsubsetXn
such that Un=VncapWn. Indeed, W1 contains 0, so it is non-empty, and thus contain
ninmathbbA1=X1 for some n. But then Wn must contain (n,0,dots,0) without meeting
ln.
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