Here's how I managed to get screenshots (taken with the Print key) stored in the Downloads folder. Bit of a cheat but works. elementary OS 5.1 Hera.
$ cd ~/Pictures
$ rmdir Screenshots
$ ln -s ~/Downloads Screenshots
What if you try to delete them from Files? What happens?
I had the same problem in the past, it was related to encoding of file names.
There is a program ntfsfix that can fix some ntfs problems:
sudo ntfsfix /dev/sd(your partition here)
According to the man pages:
ntfsfix is a utility that fixes some common NTFS problems. ntfsfix is NOT a Linux version ...