Welcome to the forums madmelmon.
First, regarding your second post, there's a bug in RMCF that can cause that message box to appear even when it shouldn't. So the fact you got that message may or may not be significant. I don't know if that bug has been fixed yet, especially on Mac.
The other screenshot doesn't tell enough, unfortunately. The [Filename] column is important, and that is missing.
More importantly, we would need to see a screenshot of your RM&CF (F6) dialog, as you have filled it out. The preview on the right will show what's happening (or rather, what's about to happen). Show the entire dialog window please.
My guess is that you're using the tool wrong, by selecting the "Update database..." option. If you actually keep reading that option, you'll see that it says at the end "no file rename, move, or copy". That means it will not actually move your file. It updates the database to a new location, the file isn't there, so you get the broken link icon. That is probably what is happening. That would be consistent with the result you describe, except the files probably aren't actually gone, they're elsewhere, you just don't know where.
To actually move the file correctly, you would have to select the option that says "Rename (move files if directory changes)".
If you use the RMCF tool correctly, it will work. If you do the wrong thing with it, you can shoot yourself in the foot. You cannot specifically tell it to delete files, but if you're creative you can do things almost as bad, such as moving them to a place where you'll have to search the entire disk to find them, or renaming them all to the exact same thing, which would effectively delete every file but one. So be careful.
So that's a guess. Only you know what you did. Post a screenshot of what you're doing in the tool if you want me to make a better guess.