I right-clicked and tried to rename a material category, but accidentally clicked "Delete" instead.  It automatically deleted the whole folder.  My materials still appear to be in the spreadsheet, so I just have to figure out how to get them back in the folder.  But, it would have been nice to be able to say "No" to an "Are you sure?" type of question, particularly if there are materials inside of the folder that is about to be deleted.

Update:  This is a setting you can turn on/off in Options.  See comments.