In the future when moving your download folders in Deluge, you can either browse through your file system with the

icon to the left of the path text box (shouldn't be confusing this way) or select the ↓ on the right side and chose/manage preset paths, finally, you can enter a path manually in the text box.
Deluge pretty much told you that the files weren't there with the 0%, and when you "Open Download Folder" it should have taken you directly to this incorrect folder...I suggested you check the path this way, seemed likely.
Not sure what part deluge is playing to cause this repeated problem, can you elaborate? It sounds like you are accidentally/mistakenly entering the wrong path and are expecting deluge to somehow predict or fix it for you? Do you have any examples (other torrent applications or anything) of how you think it SHOULD act?
Keep in mind, the point of moving the download folder might not always be to point it at files that are already downloaded but to change the path of the download directory before or mid-download, so assuming the files will be there wouldn't be an entirely valid theory, unfortunately.
Hope some of this helped, though.