Turned on where in camera or in PC?
on my mac if you protect it in-camera then you can't delete it on the computer because it carries over. need to see if lightroom has a function to reset that on the way in.
I can't tell you the source of the problem but to get rid of the troublesome files you already have try restoring the files from the Recycle Bin. Then, navigate to where the files are and do a direct Permanent Delete. To do that, press and hold the Shift key while you hit the Delete button. This should bypass your Recycle Bin folder entirely and permanently delete the file.update, windows has crashed several times so HP have replaced the M.2 drive and i installed a new operating system updated all the drivers and all is working, but i still cannot delete NEF files from the recycle bin, seen on another forum others complaining about the same issue as yet noone has found a solution.
Jake, do you know if there is any way to drag the file(s) back to the card, put the card back in the camera, then change the settings in-camera for them?