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The Render files are stored where you specified in Edit>Preferences. Have a look there and see where you directed PP to store them. Some folk always place them within the Project's hierarchy, others will leave it on the default, and others will dedicate one space for all Render files, regardless of Project.
As you state, it does no harm, other than not having Sequences, or segments of Sequences, rendered. To see any Effects smoothly, you may have to Render again. First, check your Preferences. Next, write down all characters in the file name, and do a Search with WinExplorer, or similar. If you have them all in one spot, when you point PP to that folder, it should find, and link the rest. If you have deleted them, then I'd Skip All, but Save_As for your Project. PP "should not" ask for their location, when you start up your Save_As Project, and you can always re-Render (make sure that you have Preferences, as you want them).
It might be worth trying Sequence/Delete Render Files and saving the project to see if that fixes it.