When you delete a folder or item from a Catalog, Pro Tools lets you choose whether to delete only the alias from the Catalog, or also delete the original files from the disk.
Deleting a folder from a Catalog does not delete the folder on disk (even if you choose to delete all files from disk). Because Catalogs are “snapshots” of items, their aliases only include files that resided in the corresponding folder at the time the Catalog was created. To avoid potential data loss, folders are never deleted from disk, even though you might choose to delete Files instead of Aliases.