When you import a playlist to MC in reads the contents and creates an internal playlist to its database. This is an excellent system because the playlist items will always be up-to-date if you change the media files (tag, rename, move, delete etc).
You should be able to delete the playlist from the library by selecting the list in MC's tree and deleting it. (I assume this works for you.)
After a playlist is imported MC does not care about the playlist file on the disk. You must delete it outside MC or browse to it in the Drives & Devices part of MC's tree and delete it there. You can go directly to the file folder by right-clicking a file inside MC and selecting "Locate On Disk (inside MC or external)".
