How to display an alert when deleting a plugin?

Consider using an external directory to store such dependencies for your scenario like WP_CONTENT_DIR.'/plugin-templates' (other then your real plugin folder) or smth. And allow users to remove it manually when they really want to uninstall.

I don’t think you should delete plugins to update them… BUT I NEVER USED THE DEFAULT UPDATER (I disable it intentionally) so I don’t even know how it works.

Regards.