If the Contact you're Sharing a Folder with, wants to remove you... thats up to Him or Her, they can Remove you from their Shared Folder List ... or their own Shared Folder with you
Thats up to them...
I dont use Shared Folders much myself, but I think if they Delete files out of the Folder, it also Removes them from your own system... & if you add Files, thier system gets updated with that file as well... and so on, its like you're using the exact same Folder.
I think if Shared Folders could be Protected ... it would cause some Problems.
Other types of Sharing (FTP etc) works a little different, with File & Folder Ownership.... etc.
Sharing a Folder via Messenger is Supposed to be Easy for every Contact
Not made Difficult by Restrictions which is why Microsoft didn't impliment any.
