If they were associated with Picasa, they stay there. I tried Picasa, didn't like it.
There are 4 empty folders on the phone with nothing since I deleted all the photos from Picasa.
I played with QuicPic. The folders were gone. I went back to the regular gallery, and the folders are there. ES File Explorer doesn't see them, either. I know it's Picasa as it has the Google icon on the folder.