Will anything bad happen if I delete all .bak files?

Oh no I’m sorry, that is stressful to state the obvious! Deleting bak files should never delete your project. You should be able to safely delete all of your bak files with leaving your .cpr project intact and working they are not dependent on your .bak files. As peakae pointed out they are just .cpr files with the extension renamed so Cubase knows which is which. It allows Cubase to look and see if there is a .bak created later than a saved .cpr and prompt you to open the more recent .bak making the assumption that Cubase crashed on you which is why it would be newer.

Anyway to your question I’m assuming you have checked your trash on whatever OS you are using to see if they are still there? I’m guessing there is no backups that you run daily that you can pull from? Worst case you can spot all your audio to time location to at least start over. There are applications like SpinRite GRC | SpinRite 6.0 Experiences and Testimonials   for Windows that works wonders but doesn’t work on SSD’s, DiskWarrior and the like but I doubt that would recognize .cpr files (wav files yes).

I don’t know about the newest Cubase, but have Steinberg improved this?
Should be an option to select your own folder for these files in preferences as you can limit the numbers as sugegsted already here. I agree they can be useful though so not deleting anything.