Hi Adriano,
To protect public users from accessing specific directories of media files, you can add some code in your htaccess file.
Here is a great tutorial that helped others protect their directories:
wordpress.org/support/topic/how-to-prote...in-a-membership-site
And I'm not sure why you are asking if it is necessary to rename the index.html file in each directory? If this is an empty file, the purpose of this file is so users cannot see the directory list of files on the webpage when accessing
www.yoursite.com/mediafiles, instead it will direct them to a blank screen, or whatever the index.html file is.