The capture function doesn't create its own folder, you tell it to capture to a folder and have the opportunity to give it a name. If you don't use that option, they'll capture to the default folder in My Documents." Hopefully you're not using that for best performance.

Anyway...if your "All Clips" folder is the only capture folder you have, and the files are .avi suffix, then yes; deleting that folder will delete those files from your hard drive. Could be a very bad thing. You might want to open your project(s) and use the Save As/Copy-trim all media" option to store the project and associated media in a second folder or hard drive prior to deleting any clips.