1) That's crappy Windows. I get that [very] occasionally, not only with Rockbox but with any pendrive or USD drive. The same goes if I don't "safely" remove an USB drive. If I do that I'll [almost surely] get the annoying "scan for errors" dialog next time I insert the USB. Useless, ofc, as USB drives have write caching disabled by default. I never looked into some way to disable those dialogs.
2) You should use the tag "album artists". Set that tag to "compilations" for that kind of albums and use "album artists" to normally browse music. That way your compilations artists don't get thrown in the list. Then if you want to have the songs of an artist of the compilations, you just browse the normal "artist" tag. Got the idea?
For the rest of the "normal" albums leave that tag empty, "album artist" is assumed equal to "artist" if empty.
I do that with several series of compilations (instead of only one general "compilations"), it works perfect for me :3
3) You can delete everything (the folders and stupid files of the OF), leave only ".rockbox" and your stuff on the player.