Hi Jacob. I'm Greg, 10 years awarded Windows MVP, here to help you.
I get the same thing on some of my OneDrive sync'd apps like PhraseExpress. What's likely happening is that the latest game saves are replacing ones that are deleted, triggering that warning to you from OneDrive to let you know they will be saving them in the online Recycle Bin for 30 days even if you empty the PC Recycle Bin
There's no reason to worry, and you can tick the box to tell it not to warn you again The deletions are the old saves, the new ones are replacing them. It's just an idiosyncracy of the game that it deletes a whole file of saves each time it overwrites it with a newer one. Other apps handle it with more sophistication.
I hope it helps. Feel free to ask back any questions. Based on the results you post back I may have other suggestions if necessary.