Okay, I discovered the answer by playing a little further and it seems to concur with what you said, above.
Luis Sequeira1 wrote:
FCP X only deletes media if it is managed media (i.e. contained inside a library, not referenced or "symlinked") AND there is no more edits using that media. That is when you also get a dialog warning you that since the clips are no longer used, they will be moved to trash.
FCPX seems to have a safety feature that does not delete the actual file if it happens to remain in the timeline. I thought it would, but no. So when you delete it from the event, if it is still in the timeline, it just reappers. If you then delete it again and then also delete it from the timeline, then, and only then, you get this message:
So that's the answer! Thanks Luis, you were right.