The latest version of iCloud Photos for Windows changed how it works.
Regarding all of the old photos (from before iCloud Photos was turned on in the Windows computer) automatically downloading, that wasn't the case in the prior version but see the following for the current version from If your iCloud Photos aren't loading on your PC - Apple Support
In iCloud for Windows 11.1, optimized versions of all photos and videos automatically download to your PC once you enable iCloud Photos. Open the photo or video to download the full version.
Regarding the location, I don't know of any way to change it. See the following from If your iCloud Photos aren't loading on your PC - Apple Support
* New photos and videos automatically download to your PC at C:\Users\your name\My Pictures\iCloud Photos\Downloads.
Regarding deleting photos from the computer, you used to be able to do that on a Windows PC as it did not sync fully (wasn't possible on Apple devices as they did sync fully) but see the following from If your iCloud Photos aren't loading on your PC - Apple Support
In iCloud for Windows 11.1, photos and videos that you delete from your Apple device or iCloud.com will delete from your PC unless you have chosen to pin them. And when you delete a photo or video on your PC, it will also delete in iCloud Photos.
In short, the new version made significant changes and now operates more like iCloud Photos on Apple devices -- but they aren't, I suspect, likely to be viewed favorably in your case.