Sylpheed creates the file 'recently-used.xbel' in ..\AppData\Local and does not delete the file when it is closed. I do not know what the consequences are of deleting that file. It's obviously a recently used list, but it might be very useful to not have to set up a new profile each time. I haven't had time to look into it in detail.
Also, within the Sylpheed application folder, it stores a bunch of IMAP cache data, which can be confidential. It does this even when the the user specifies to store the actual IMAP data on another drive.