On Windows, KoLmafia.jar will attempt to create folders for its data in the same location as the .jar file. If you have an existing images folder beside it, then it will access that. That's part of the expected behavior. I would guess that this was a false positive as a result of having an existing Images folder in the Downloads folder.
It's best to put the KoLmafia.jar file in a separate folder on its own so it can generate its folders and files and not mix them up with other data.