Hello,
This probably happened because the file is protected with DLP and prior to the attempt of save the file to a removable storage the file was not saved in the user machine. To be sure the file doesn’t get lost when the action is blocked; a copy of the document is saved in the path c:\users\user_id\AppData\Local\Temp\Recovered Files\...
The file remains in the quarantine for 48hours before be deleted by DLP.
BR,