This symptom has been verified by Microsoft. It occurs when an icon is manually dragged to Recycle Bin under the following conditions.
a. When the Do not move files to the Recycle Bin. Remove files immediately when deleted check box is not enabled.
b. When the Display delete confirmation dialog check box is selected.
The warning message appears when user tries to delete a file with other methods.
For more details, please refer to the following solution in Microsoft's technical support website.
Article ID: Q221532
Last Reviewed: October 23, 2000
Title: No Recycle Bin Warning When Deleting Files