The solution was to define $HOME as a Windows environment variable.
Once I did that and restarted gVim, it read my ~\_vimrc and also sourced my native Vim 8.1 packages correctly.
Source: this answer at Stack Overflow.
That “buffer” is netrw. It notoriously has this issue, although in practice it’s not a huge deal.
I tend to swap files by name or argument list (:args) more often than cycling through buffers.
In other words, don’t worry about deleting it, and don’t let it bother your workflow.