What are Windows $DATA files, and can I delete them?

I am running WIndows 10.

I have moved my Desktop file to an external drive. My Windows is running in a virtual machine, and I need to access the desktop from elsewhere, so I though I’d try this. I used the Properties on the original desktop folder and used the Move button.

The desktop was successfully moved, but I find that there are now a large number of …:$DATA files. Some are ….Zone.Identifier$DATA, some are ….SmartScreen:$DATA.

What are these files, and is it OK to remove them?