How do you delete items off favourites in Finder??
I tried to press delete items on favourites in Finder on my keyboard and move them to the bin and it's still there??
Not exactly intuitive but ok.
That's how the Dock, Status Menu, and Sidebar has worked for as long as I can remember.
You can also ctrl-click on an item and choose "Remove from Sidebar" if that makes more sense.
You are not actually deleting those items. You are removing the shortcut from the area. The item itself still exists.
If you wan't to delete the actual folder represented by the alias in the sidebar, you have to go to where the actual Item exists and delete that.