I didn't say use the command key and delete. I use the command key for selecting random photos. Then I right click and choose delete from the contextual menu.
I always use right click, but the command-delete does work also in that album.
Depending on what album you are in, there are different menus. In a user created album, the right click would show "Remove from Album" & "Delete Photo". I noticed that was the same for Last Import Album. But at the same time, under image, you will only have Remove from Album. If it is a system album, you will only get the delete menu from either the right click or from the menu under Image.
What you have to remember is if it days delete the photo, it will completely delete it from the library and all albums. If the menu says Remove From Album, then it will only be removed from the album you are in.
In PhotoStream Album, you get only Delete Photo from the right click menu, but under image, you get only remove from album. So if you want to remove an image from PhotoStream, you have to use the top menu so it won't get deleted from the library. If you want to remove a photo completely, you would use delete and it will be removed from the library and photo stream.
So, there are different processes for the different albums. I don't know if that is intentional or just oversight. That may change in the future.