The error you are seeing happens for any system scripts such as indicators or fitnesses, the platform only lets you remove your own custom scripts. I see that in post 2 Chelsea answered your question on how to correctly remove items and also mentioned that you should not try to manually remove files specifically for the reason you mentioned in your post.
To manage files in the platform you need to use the platforms tools so it can make sure what you are doing is valid. You cannot trim the list of default scripts, anything with a white icon with a lock in the lower right corner in the NinjaScript editor is a required file. Required files are also re installed with each update so any scripts that happen to be able to be moved out will always be replaced so you should not try to manually manage your files.

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