Unable to delete songs in iTunes 10

I just went through my library and found a bunch of duplicates that I want to remove completely. I've usually done this by selecting the items I want to delete and hit cmd + backspace. Then it removes the item from any playlist, the Music library itself and from the iTunes Music folder.

When I try cmd+backspace, backspace, edit -> delete or right-click-delete on my selected items it removes them from the library and any playlist that also contains them, but not from the iTunes Music folder.

The weird thing about the whole thing is that it worked just fine yesterday when I deleted (cmd+backspace) a couple of songs, and also when I were running previous versions of iTunes. So, have I made any changes/installs since yesterday you may ask? No, nothing. Maybe I accidentally hit a key combination that does some stupid stuff, impossible to tell.

What I've tried:
- Every delete combination mentioned above
- Repair file permissions in Disk Utility (you never know)
- Reset all dialog warnings (in iTunes)

Other settings:
- Keep iTunes Media folder organized

So, any ideas on this issue? It's a real bugger when I have to locate the folder and delete it manually, and then remove the references in my library.