My Bad!: Its an option in Windows Disk Cleanup so do not check the "Downloads" option there. I don't remember this so it probably came with a Windows Update. Also be careful with Windows new Storage Sense which will do the same thing if you do not scrutinise its options carefully also.
I have taken two liberties of: Putting my (backed up) stuff into another C:\Downloads Folder (since I use Portable Apps off of C:\ also); Lastly the links between these folders (Desktop, Downloads, Public Downloads) which I wish to keep I have made read-only so they shouldn't get deleted by accident either.