If object in world contains non-copyable items, when you right-click it and select More > Delete from pie menu, this opens the usual requester
"At least one object is not copyable. However you can delete the current selection. Are you sure you want to delete these items? [Yes/No]"
... the catch is, the requester when it pops up steals the *focus* from world, essentially removing selection from the object. So when you confirm your decision by clicking OK, by this time the selection is empty and you delete *nothing* ... meaning, the object you were intending to delete remains in world.
The work-around is to right-click > Edit to open build panel, which has its own selection that remains active, which allows to right-click > Delete normally but it's pretty confusing especially for someone new, i'd guess...