Is this a new camera? And is this the first time you have used it? If it is new, and you didn't update the Canon software from an old camera the RAW files will not be recognised and you get the big ? on the thumbnail. Because of the way that RAW files work, storing the unprocessed sensor data, the format has to be different for EVERY camera model. So while new software is usually backwards compatible with all the old bodies (DPP 4 is only backwards compatible with a limited number of older bodies, but needed for new ones) old versions do not recognise new cameras.
Anyway as far as Canon cameras/software is concerned the ? is used for incompatible RAW files for that software version. None of the Canon software is database driven, unlike Adobe Lightroom, so doesn't need to be told the location of files.
Alan