Yes, it sounds confusing at first read but it's very logical.
The unused files report is reporting files that don't appear to be referenced by your project. Because they aren't referenced by your project, you will have to use Windows Explorer to remove them.
But because you are being advised to use Windows Explorer, you might be lulled into believing that you should also use Windows Explorer to rearrange project files. These files would not be listed in the Unused Files report. So you are being admonished that if you choose to use Windows Explorer to perform other file management tasks you will break your project by doing so.
Is that clearer? Rick
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Rick, I don't know that I would call it logical. I would call it bad writing.
Then fix it up - Adobe accepts all of our changes to the Community Help system after moderators have a look at it.