That’s how it works. I don’t think many people use the option.
If it helps, you could choose the keep and unmonitor option, and then once you’ve confirmed that it does indeed impact movies not on your lists (by unmonitoring them), you can disable the cleaning option (or choose a better option for you) and update all your movies back to Monitored.
You didn’t happen to change an unprivileged container to privileged, or vice versa, after creating it, right? Doing so can break filesystem permissions, which could have resulted in something like this.