Hi, welcome to the forums.
As people have said some programs password protect some of their file and since an anti-virus program doesn't have that password, it can't check them. This doesn't mean that they are infected, just that they can't be checked.
Files that are protected by password, would/should also be protected from deletion by that same password, hense why they wern't deleted.
Checking where the files are located, should give you an idea of the program that created them and protected them. A common program that protects files in this way is Spybot Search & Destroy.
It is not good to rush to judgement and delete files until you have identified the problem/authenticity of the message. If there is another option that is less severe, I would choose that first. To me Delete is not a first choice weapon.