When I delete a recording from disk by myself then the table row in WPM gets gray, and when I click Delete it just says "No files deleted" and the entry stays. I think this should still delete the entry, or am I missing something?

The Recordings tab shows the entries in your download history file, which are retained regardless of whether the associated file exists, presumably to prevent repeat downloads. The WPM doesn't edit the file - you have to do that yourself if desired.