Okay, thanks for clarifying.
First off, glad I already helped
Second, I don't think you can actually delete a file from the hard drive using the playlist in WMP. If people could do that they'd end up with an empty HDD sooner or later XD
Besides, I don't really see a reason for doing that when you can delete it from the library... A second option is to find the entry in the playlist, right click it and select "Open file location". An explorer window with the folder in which the file is located will be opened and the file itself will already be highlighted, so you can also delete it from there right away.
Again, I may be misunderstanding. By "Now playing list", do you mean the playlist in the library view (not the library itself but the one in the screenshot, where it says "Drag items here to create a playlist") or the list in the new "now playing" window? Don't think there's any difference, but, oh well...
And finally, third, I don't think that there is a workaround (that I know of) which will enable this so called "automatic advancing", so perhaps you're just stuck with that one extra click.
Still, WMP12 is in my personal opinion much better than previous versions. It may be a bit different and you'll need some time to get used to it, but all in all, it completely stands up to my needs and expectations. There is always room for improvement, and yes, I did expect more new features in this version (like more ripping options, new visualizations, a better EQ etc.) but better this than nothing.