The error message you have highlighted in the bottom of your screenshot is unrelated to the screenshots folder: this message is displayed, when you have removed/renamed the test case within the test file. Your feedback correctly highlights though, that this error message is way too cryptic and can be misunderstood easily, and so we will improve it for the next release.
As for the screenshots issue:
It could be helpful indeed, if certain important folders display a special warning message to the user, when they try to delete them. Beside this screenshots folder, can you think of any other folders that would benefit from such a warning?
About the “broken image” in the report:
You will be happy to learn, that we already have a refinement item in our backlog, which includes displaying a helpful error message instead of the ugly “broken image”, in case a screenshot can not be found.