When you press Delete - you have the option to remove from playlist, or remove from playlist and delete the file. If you're not seeing this message, it's because you clicked "don't show again".
hmmm. i see that in Playing Tracks Panel, it is only a Remove, but in Music Library List panel, it gives you that choice (but no 'Dont Show Again option) ....
and it easy for me to get confused between MB, MP3Tag, and MP3 Diags, that i am constantly switching between at the moment, to get confused between/with the options.
ahhh. now i see ... when i just press Delete (key!) on Playing Tracks Panel, which is what i was doing, it is a Remove, not a Delete (same as if i Right-clicked)