Hi,
Evo_Circle_STM32G.elf is the code of the CircleOS.
FAT_OP4.elf is the list of CircleOS applications.
Of course these files are only needed when creating a CircleOS project. So when you create a non-CircleOS project for the same device, you don't have these files.
All this is explained in the docs in a much clearer way...
Best Regards,
Vincent