Remove Movies Home folder

It is set to not delete because it may be expected by some programs. If you really think it is necessary to delete the folder, you could remove it in the Terminal with

sudo rm -r ~/Movies

Be careful and good luck. If you mess up typing the command you could delete something you didn't want to.
sudo will ask for your password, but won't actually show anything on screen when you type it. rm is remove and -r tells it to work through any subfolders. ~/ is your home directory.