Just reached level 35, also installed the new 1.3 patch (not sure if that has anything to do with it) and now suddenly most merchants are offering for sale a weird item that looks like a treasure chest. It's worth 400 gold and called Do Not Delete. If I drop it, it gives gravity the finger and just floats in the air.

Does this thing have any use? It's kind of cool and I am a rabid item collector (I have a dresser filled with tableware I have a problem), I'm not gonna corrupt my gave save or anything if I hang on to this thing am I?

Interacting with it will corrupt your save. When you see the Do not delete bug item just ignore it and don't touch it.

Put it in the back room of your house and use it as a fail safe if anything were to go wrong.

If you already picked it up, put it into a respawning container somewhere and leave it. You can screw you save man, I did it in Oblivion after deleting addons and then reloading the game.