In my case, my .alx was missing. It may have been because I had gone through a reinstall attempt of the BlackBerry OS via Loader.exe, and went through BlackBerry Desktop subsequently several times, including the restore of the .ipd file first, before I later discovered the applications backup.
But your suggestion is good too -- if the .alx file is still available.
In my specific case, the folder did not disappear when I quit Desktop, but you are right: It is likely best to make an immediate backup. I suspect that the folder was kept there because the OS installation failed. It may be that the .alx automatically got deleted in my case, but not the <pin> folder.