You have specified a main RomSet for ToSort. Files in the ToSort location will ALWAYS be deleted when they match a cached dat and are rebuilt into the dat's set, if the checkmarks are set so. You cannot protect entire RomDirs, you can protect only individual files. This is my main problem with RV, and is why I cannot leave CMPro for some procedures. Always think of ToSort as scratchspace or a dumping ground for unknowns. It is NOT the same as a CMPro Rebuilder Source folder.
Before you click Fix ROMs, the ROM Status icons next to each ROM will show colors for actions which are about to occur. click on Color Key to see descriptions for these colors. Remember to only press the Find and Fix buttons after you have completed a full Scan of every set involved.