I'm not sure, but I think in order to delete something permanently from an external drive you have to delete the file and then empty the Recycle Bin while the drive is still mounted. Perhaps Windows doesn't request confirmation because it knows if the drive is suddenly unplugged, any files you've 'deleted' (in reality, probably more like 'flagged for deletion') will remain unharmed.
I could be wrong - but even if I'm right, Windows should know better! :P
Windows Outreach Team