That's no fun.
I just tested the process quickly, and it seemed to work fine, produced the playlist files and didn't delete anything. I will note that you said you 'typed in as "D:\Utilities\Applications\J River\Playlists"', whereas I think MC expects you to select the target directory using the directory tree it displays. That shouldn't be an issue as long as the target directory existed, but it may result in an unexpected outcome. There is at least one MC process that will not work if you type in the target directory, and you must use the directory tree to select an existing directory. That may have been the "Rename, Move, & Copy File" function.
Regardless, MC "never" deletes media files, unless you tell it to. Is it possible that you accidentally selected all files in that directory and dragged them to a new location without realising it? That is easy to do in Windows, and would result in what you observed, although the files would still exist somewhere on your disk or a connected device. Unless the files were dragged to the Recycle Bin I guess.
Have you searched for the files to see if they are still there somewhere?
Note however, that I have seen Windows allows me to drag or move file to a non-existent directory, and just had them vanish. Once. But I didn't have enough evidence of what really caused the issue, as the PC was playing up a bit at the time.
I hope you have good backups.