My Trash is called 'Deleted', but for some it will be called 'Trash'

when I choose right click > 'Empty Deleted' the pop up message window says:

'Delete all messages and subfolders in the Deleted folder?' checkbox 'don't ask me again' Yes and No buttons.

So it already says what you mention. But if you put folders in trash and then want to empty trash, you can expect it to Empty the Trash of all contents.

Please post image showing what you see. What version of Thunderbird are you using? What OS are you using?

The problem is when you press the Delete key on an item that is already in the Trash. Try this:

Select a MESSAGE in Trash and press Delete. TB asks for confirmation to delete, which is what I want.

Now select a FOLDER within Trash and press Delete. The folder (and any contents) are immediately deleted without confirmation.

For consistency, the folder deletion should request confirmation, just as TB does when deleting a message. The behavior is the same if you use the Delete key, button, or menu item.

This is TB 45.2.0 running on W10 and on XP SP3