Links from that domain are our CDN. If you delete a file from our site, then it will get purged from the CDN generally within a day or so. If there's a particular file you want purged immediately you can contact us via support.
We have an automatic site locking system in progress but have not deployed it yet because we haven't had a chance to verify compatibility. There's no reliable way to do it with HTTP headers so it involves injecting javascript. This would be the first time we're manipulating files uploaded by people so we have to be careful.
You as a developer can also implement your own site locked, this is something we've recommended in the past. If you do implement it, please also authorize the domain *.itch.zone since we may migrate CDN domain at some point.