The MIDI Files & Library group sets what the Library shows and what Orfeo can create from your files: the demo songs and chord chart PDFs. Setup has Show demo content; everything is in Settings → MIDI Files & Library. Your library folder itself is chosen in the Library tab.
Show demo content
On by default, so the three demo songs that come with Orfeo appear in your Library. Turn it off to hide them; nothing is deleted, and turning it back on shows them again.
Chord Transcription
Off by default, beta. When on, every file in the Library gets a transcript icon; click it to create a PDF chord chart in the Orfeo folder next to the song. See Chord Transcription to PDF.
To choose or change your library folder, see Your MIDI library.