This is the same as the other problem you were having. You delete from the right side main panel, not the left thumbnail browser, which is a visual representation of what's at the right. The left reflects what exists at the right.
If you want to delete multiple items in one shot, you either needs to tag them so they show up grouped together on the left or go to the top of the left and select "All Artists." "All Artists" will put everything in the main panel, then you can select them as you wish and do your SHFT-DEL.
You keep saying "Deleting Albums" when you mean "Deleting Files" (because you don't have anything tagged as albums). That's where the confusion keeps cropping up with those of us trying to point you in the right direction. You don't have albums, you have a collection of disorganized individual files. The thumbnail browser is of no use when none of your files are tagged properly. It's throwing you off and I would even suggest you remove it because without tags there's no reason for it to be there.
I suggest you use a mass tagging tool of some sort to get your collection in order and then, once that's done, create a new library with the corrected files and you'll have a much better time in MB. MB will perform much better and in a way that you expect once you give it input in a coherent manner.
Something like MusicBrainz Picard can scan the audio of your files and match them to albums in its database and auto-tag them. That will save a lot of searching and typing.
MB can do this too, but I find it easier in a dedicated program like Picard.