About The All My Files Folder in My iMac Computer?

I Have Files in The Folder All My Files in My iMac Computer & in there are Files that been Deleted & some I Have that I Kept now these Files that are in the Folder All My Files these Files were in anoher folder in my iMac Computer but they also Appear in The All My Files Folder that i never really realized & some there are a lot of Files in these Folders the File is a White Color & I Want to Delete them but the Computer won't let me? & this comes up

The alias “WallpaperWizard-3714909900.jpg” can’t be opened because the original item can’t be found.

this happens on all the Files in The Folder All My Files is this suppose to be like this? cause I Can't Delete them & they could take up a lot of Space?

so everytime I Change a Desktop Wallpaper in Wallpaper Wizard t's gonna Add on & put a Alias File in this Folder? there no Stopping it? it's gonna grow & grow with alias Files in this folder & i won't be able to remove them?

& how come this is happening? I Don't think this happened before what should I Do?

Everytime I Save a File on My iMac Computer in My Downloads or Ducuments Folder & then when I Delete them it's gonna Save a alias File in My All My Files Folder? is this a Mac Update thing thats going on?