Do you mean the blue square paths which indicate the paths used by the shapes? They can be filled and stroked or as shown in your second screenshot, can have no fill and stroke, just the path. A path only does not appear in your printed or exported artwork, it is just an indicator of where it is so that you can use it.
These rectangle shaped paths can be independant of the layers panel but will appear in the paths panel, as a working path, which allows you to make them into shapes whenever you choose. That independance means that they will still be shown regardless of which layer is selected. You can delete them by making sure the path is shown in the paths panel, going to the canvas, and selecting it with the path selection tool (black arrow) then pressing delete (ignore the warning that it will turn a live shape into a regular path).
Dave
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