Hi alma,
Sorry for delay in responding.
As you may have guessed, screenshot captor is showing you real folders in its directory, so if you delete those folders, it will delete them from wherever it is looking. It sounds like you have it pointed to your MyPictures folder. It sounds like you solved the problem by turning off the automatic-move-to-old folder option. Another thing you could do is simply change the main screenshot folder to someplace else.