Yes, you want your ‘separate’ project folder to contain everything. Audio/Images/Melodyne/cpr, etc… One folder for each project. If you don’t, you risk deleting part of the project.
For instance; if you recorded audio to C: and had a shared project that saved to that folder and deleted it, you would result in missing audio for the other project.
It seems inefficient at first but after you have multiple projects you will understand why Cubase does/needs separate folders that include everything. You just need to make sure everything is placed correctly.
Again, if you are ever in doubt, make a ‘Backup Project’ to a new folder as to guarantee you have everything where it needs to be.
I learned a lesson the hard way a time or two. …