Fair questions. To answer your first one, I would say not. Off the top of my head, one of the folders was created within the 'My Music' folder; another was created in a folder that I use to store Dropbox stuff in until I'm ready to delete it. I seem to recall that there was one a while back in the 'My Pictures' folder, as well; there have been others, but I can't recall exactly which ones at present. I wouldn't have thought any of these would come under the category of 'protected', at least inasmuch as other files and folders in the same parent folder can be and have been altered / deleted without problems.
Yes, the folders do contain files. I'm not sure why the computer would arbitrarily decide that the files in these particular folders should be considered any more carefully than any others, but at any rate, I get the same message if I try to delete the files individually.
Not that it would make it any less frustrating, but what puzzles me is why it seems to select certain specific folders at random ( mostly, seemingly, either pictures or music ), when other similar folders can be handled without difficulty.