I've suggested it before, but the "permanently delete from disk" option should really require confirmation of deletion at all times.
The "don't show this message again" preference for that dialog should be removed.
It is less of a problem if the "send to recycle bin" option does not prompt for confirmation (if you've ticked "don't show this message again") but permanent deletion should always require it.
And in certain circumstances sending to the recycle bin may permanently delete the files as well.
Explorer will warn you of this, but I don't recall Media Center having this same warning.
I also seem to recall Theater View deleting items immediately without prompting too, and I would personally prefer to remove the option to delete files from Theater View altogether.
Theater View is for media consumption, not library management.
I don't want to hand someone the remote and have the possibility of them deleting files, intentionally or not.
Make it a preference if there are people who wish to delete files from Theater View, but it should be a preference, and one which is disabled by default in my opinion.