What files were you expecting it to keep? Where were they located before your deleted the profile?
Typically, the only files that option will keep are files located in the user profile folder before it deletes the folder. That folder is typically located in C:\Users\Username, where "Username" is your profile name. If the files were located anywhere else, they should still be there. You can try navigating to C:\Users\ and see what users are there and if your files are still there. You should also check C:\Users\Public and see if your files are there, too.
If you still can't find your files and think they might have been deleted, you can try something like
Pandora Recovery and see if you can located and recovery the deleted files.
Aside from that, I'm not sure there's much else you can do.
