delta lake is parquet on steroids. The actual data is stored in parquet files, but you get a bunch of extra functionalities (time traveling, ACID, optimized writes, MERGE etc).
check this page for lots of info.
Delta lake does support schema evolution but it has it´s limitations.
About the location: they will indeed be stored in dbfs, but dbfs is a 'virtual' layer on top of your actual storage. So if you mount your data lake into dbfs, dbfs will contain your data (it will link it, not copy it).