When you are adding torrent, .torrent file will be copied in to the C:\Users\_username_\AppData\Roaming\uTorrent folder.
When you are deleting torrent using "Remove and delete .torrent", .torrent file in the Roaming folder will be deleted. Original .torrent file will not be affected.
So, if for instance you are adding torrent by clicking at .torrent on your desktop, do not expect that .torrent to be deleted by "Remove and delete .torrent" - only copy of that file in the Roaming directory will be deleted.
Thanks.