Also, you must select the "View" to "show rejected clips only" from the menu box on the bottom. This gives you one more chance to review them before deleting. There should be a button on this view to send the rejected clips to trash.
I have the same issue, except my rejected clips are in the iPhoto library. Should I get the out of there (how) or how do I remove the clips I so nicely rejected in iMovie. (I admit I have only used iMovie for a few days ;-))