Many users of MATE desktop including me have had some concerns with the Caja file manager saving the history of recently visited directories and displaying this list in the Go menu and also in the drop down arrow button to the right of Back button on the toolbar (as shown in attached image)
At present the history is erased after closing Caja but continues to track the history as long as it is open.
Many of us want to disable this recently visited directories history feature in Caja completely for the sake of privacy. Request the developers to look into it and make this an opt-in feature or provide a simple way to disable this.
Also, one of the users @danwilde has provided a workaround for disabling the Go menu history feature, which has been discussed in the following thread.