Hi,
This is a great suggestion and it fits well with the upcoming idea of adding new configurable options that can be attached to individual engine modes. You might be interested to learn that option A is actually easier to implement, as it gives a clean solution where the coverage is shown selectively (this could be considered similar to choosing to show coverage from one test only, which already exists as a feature).
The 'Pinned' status of tests is generally considered to be fairly transient. For complexity reasons, it isn't really worth storing in the user configuration file, as the only situation where such data would be lost would be either when the _NCrunch_ directory is deleted, or when NCrunch is upgraded.
But yes, I definitely would not recommend deleting the _NCrunch_ folder unless you are trying to recover from a corrupt state. This folder also contains the known execution times of all tests in the solution, which can be very important knowledge when prioritising future execution runs. You'll also lose all your code coverage, execution state, etc.