They only appear not to have been deleted, because some other process is still using the file and hasn't finished with it yet.
Take a look at this page at Microsoft's support site:
You cannot delete a file or a folder on an NTFS file system volume
Cause 2: The file is being used
You may not be able to delete a file
if the file is being used. To resolve
this issue, determine the process that
has the open handle, and then close
Depending on how the file is opened
(for example, it is open for exclusive
access instead of shared access), you
may not be able to delete a file that
is in use. You can use a variety of
tools to help you determine the
processes that have open handles to
files whenever you want.
The symptoms of this issue may vary.
You may be able to use the Delete
command to delete a file, but the file
is not actually deleted until the
process that has the file open
releases the file.
Steam runs continuously in the background, so any files it is using won't be released (and thus properly deleted) until Steam stops running, which is normally only when you log off.
You can use Process Explorer or the handle command (both available from the SysInternals site) to determine which process is still using the file you're trying to delete.
But I don't think it's really a problem - it only looks like a problem. Consider it a display issue.