Stumbled across a little glitch this evening, I was clearing some failed/checked entries in my history list.
Selected top item and left the option window open as a new completed download entered the history list.

When I selected remove nzb and files it purged the new complete download and left the title I initially wanted to remove.
It seemed to apply the delete process to the nzbs previous location in the list.

I hope that makes sense, if you require more info let me know.