I just tried this in an MS-DOS + Windows 3.1 virtual machine that I have, and no, that doesn't happen. del *.dl does exactly what you'd expect.

• del *.dl does not delete DLL files. Your friend probably accidentally pressed the L key twice.
• del *.dl does not delete anything in any folder other than the current one. Your friend probably stored his porn in the C:\WINDOWS\SYSTEM folder or something.
• I don't think there even is a built-in way in MS-DOS to delete files matching a pattern across multiple folders. You can delete files in a single folder matching a pattern (del), or you can delete a folder and all of its contents (deltree), but neither of those does what you're talking about.
• Deleting DLLs stops Windows from starting, but doesn't stop MS-DOS from booting. MS-DOS doesn't have any DLLs to delete.
• MS-DOS isn't even capable of loading DLLs at all. If you were writing an MS-DOS program and you wanted to link code dynamically, you had to bring your own dynamic linker to do it with. Fun times.

You're right that it doesn't stop you from deleting system files, though, which is kind of odd as MS-DOS does have a mechanism for stopping you from doing that: the “system” attribute. This is used to protect the MS-DOS kernel files, IO.SYS and MSDOS.SYS. For whatever reason, though, the Windows installer doesn't give the Windows system files this attribute, so you can still see them and delete them at will.