Things like DirectX, MS Redists, SQL Server, etc tend to install on on your main drive rather than in the steam folder because steam doesn't control the installation itself.
They install where Microsoft want them to install.
Your games go in the steam folder because steam itself is the installer, but for the things I listed, they use their own installer.
The files in CCleaner that you are asking about are used by Windows for the system restore points. I guess you could delete them if you want, but you'll lose that restore point and could potentially break other stuff
Just as a side note