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 itยดs 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).