First of all, there is a difference between preview files and Media Cache files.
Preview files are those, which are created when you render the timeline. By default they are .mpeg and .xmp. If you delete them via Sequence -> Delete Render Files, .mpeg files, which represent the current state of your timeline, will be deleted, whereas the rest .mpeg files, which represent older state of your timeline, and all .xmp ones remain.
If you delete them manually, i.e. without going to Sequence -> Delete Render Files, you will be asked about some missing media on that project re-launch.
Media Cache files, some of which are .pek and .cfa, are created when you import assets into a project. You can check the Media Cache files location via Preferences -> Media.
Deleting all files from both Media Cache and Media Cache Files folders is safe: PrPro will rebuild Media Cache Database from scratch on restart. Moreover, deleting all files from both Media Cache and Media Cache Files manually sometimes helps fixing Dynamic Link or Importer Generic Error issues.