I noticed this while testing with Kleopatra, but it is true for the command line, too.
In Kleopatra it looks like this before deletion:
Then "delete" the key via right click -> delete and it is removed from the certificate view, but not from the private-keys-v1.d folder:
This is not version related, gpgsm does not have an option to delete secret keys (yet).
But as SMIME keys usually live on smart cards, the need to delete a secret key locally should be seldom needed.
But I would expect a warning in Kleopatra, that the keyfile has to be deleted manually, too.