When you preview a Selection, a temporary Data Extension and Query Activities are created in system folders. These are always deleted when deleting a Selection, making sure DESelect Segment doesn’t use unnecessary space in your Salesforce Marketing Cloud instance.
When you run a Selection, a Query Activity is created, or possibly 2 when you use deduplication. On Selection deletion, the user has the ability to choose whether this/those Query Activity(ies) will be deleted. The user can also choose whether or not (s)he wants to delete the Target Data Extension used in the Selection. The modal with the deletion options looks as follows:
More details on how this functionality works can be found below: