If you are referring to the shortcut to "Recently Changed", under Favorite
Links, that is a shortcut to a Search Folder, which is of the file type
".search-ms" (a super-hidden file extension); it lists files on your
computer that meet a certain criteria. It is not a Folder, or directory, in
the normal sense. Deleting files in that "saved Search" will delete the
actual files from your computer, wherever they may be, in whatever folder
they may be in. You can right-click on each file to choose Open File
Location, or Properties, to see where the file is actually stored.
You can delete the files in the list that is presented, but keep the above
explanation in mind...