I don't know about the first part of your post, which seems extremely odd. What browser do you use? Which folder do you download files to on your computer? Are you talking about the My Downloads folder on Windows Explorer?
But you can indeed move the epubs around. I downloaded a bunch of freebies from Kobe that were downloaded to my ADE "My Digital Editions" folder. I moved them into my "My Files > Books" folder for simplicity's sake and they still show up fine on my nook.
Just got my NOOKcolor yesterday, and have been stress testing it. I had this same issue today, and tested it out. Clearing out the download list does indeed delete all downloaded content.
I typically do a lot of research before I get a product, and found this thread to be quite handy. It references a program called Calibre to manage ePubs, and it works as advertised. I put some public domain HP Lovecraft's into my NC without a hitch. It integrates them right into your books.
Hope this helps!