Do you use explorer.exe to delete those files ?
I believe it has by default highest access rights so it won’t be blocked unless default policy would be changed.
Btw, CFP isn’t designed to protect files from you or other users of your computer, it’s designed to protect your files from malware. If you need to keep some private files safe, then you should use a proper software for that purpose, like some encyption tools or ‘file locking’ tools.
Edit: If you modify the default policy for explorer.exe and add a blocking rule for the desired file then it will work as supposed to. But still I think it would be safer to use designed software for that purpose.
I cannot give specific details but a forum search would be enough for anyone willing to go that far.
Early CFP version had that “feature” however this behaviour was removed after iterated complaints from many CFP user about explorer.exe noisiness.
This is the same reason My panding list has been resticted to CleanPC mode.
As many member already said Explorer.exe is a trusted application but attepting the same thing from command prompt triggers CFP alerts.