|Since you are seeing the folders on all drives that usually indicates you have the system set to show protected operating system files. If all you have enabled is show hidden files the recover folder is hidden.|
As noted they are the recycle bin on the desktop. When you tell windows to clean the files it checks the recycle folder on each drive to find files that were pending deletion. Since all drives are synced to track what is in recycling when you click empty all drives have the folder cleaned out.