Okay - so what's happening there, is that L3D, as on-disc, has all the levels compressed via RNC compression. I don't understand the RNC algorithm well enough to write my own decompression code yet*, so L3DEdit relies on an external command line tool (there's a copy built into L3DEdit.exe that it extracts as needed, so you don't need to obtain this tool separately).
This tool can only extract from a file on disk, to another file on disk; so this works by - let's use LEVEL.000 as an example - asking the tool to decompress LEVEL.000 and save the result in LEVEL.000.TMP (the BLK file is not compressed, ever). L3DEdit then deletes LEVEL.000, and renames LEVEL.000.TMP to LEVEL.000.
In your case, it looks like the command line parameters aren't being passed to the RNC tool properly. Maybe it's a specific issue with your setup, maybe something's broken during development since this feature was introduced, maybe it's a bug specific to the Delphi version - I'll have to look into it a bit to see.
Due to the compression being the reason for this, this should NEVER happen with custom levels, unless you've compressed them manually. Nonetheless, this could still be severe if I'm wrong on that assumption, or someone has done that, so - I was about to release a 0.46 update just now, but I'll put it on hold to put some more safety measures in place to avoid file deletion if things go wrong and release a 0.47 update instead that has these measures in place. An actual solution to the issue, rather than just data-loss-prevention safety measures, will become a project for 0.48.
In regards to just getting the editor working for yourself - as an immediate workaround, please try downloading the Lazarus version of L3DEdit (L3DEdit.exe), placing it in your L3D folder, and using the Utilities -> RNC Decompress -> Lemmings 3D (Full) option. This will run the RNC decompressor on all known RNC-compressed files in L3D. Please make a backup of any L3D files that you've customized first. Note that your save file is safe no matter what, as L3D stores this in an entirely different folder. If it's a "this has crept in over time" bug or a "specific to your setup" bug this won't help, but if it's a Delphi version-exclusive bug - which I believe to be the most likely scenario at this stage - then this will get all the files decompressed. You don't need to continue using the Lazarus version after that (except if you need decompress files again - you may want to take a backup of your decompressed but otherwise unmodified L3D folder, to avoid that hassle), once the files are decompressed you can go back to using the Delphi version for actual real-world usage.
* If anyone who's more familiar with compression algorithms wants to help me understand it so I can write my own implementation, or if anyone knows of a Pascal implementation that already exists, please let me know. In the latter case, compression ability would be nice, but only decompression is critical. Only version 1 of RNC is relevant to Lemmings 3D.