What makes Windows ask "are you sure you want to delete this?"

Windows deletion prompts are not based on file size. The operation, location, permissions, application, and Recycle Bin configuration matter, so a shortcut and a large folder may take different paths.
For File Explorer, open Recycle Bin Properties and check “Display delete confirmation dialog.” Also review the relevant drive’s Recycle Bin settings. On a managed PC, policy can control confirmation behaviour; Microsoft documents a policy specifically for showing a dialog when deleting or moving files to the Recycle Bin.
Test with disposable files in the same location, using the same deletion method. Compare ordinary Delete with any permanent-delete action, but do not experiment on valuable data. Removing a shortcut normally removes the link, not its target.
A confirmation dialog is not a backup or a guarantee that every application will follow Explorer’s settings. Keep recoverable copies of important folders and verify the selected path before deletion. Share both locations and prompts.