Configuring preferences and options in Outlook.com
Files is just a listing of attachments to messages you have sent or received. For image attachments, you will see a thumbnail of the image. True, if the message a file was attached to has been deleted, the file should no longer appear in the listing. However, this isn't always the case, and some files may be listed even though the underlying message is no longer present. It's of no consequence, and there's no risk to you or anyone else.
What happens if you click on one of these phantom files?