The grey bar is just a highlight to show you where your mouse is pointing, and to help with reading across the screen. It doesn't indicate that a file is selected. A blue bar indicates that a file is selected. Well, at least in the default Noire skin.
Also, the "Recently Imported" item you clicked on is the Playlist. The other "subheadings" are other Playlists. I have no idea what you mean when you say you clicked on "Playlist" and it won't delete, unless you mean you clicked on the "Playlists" group heading, but in that case, at least in Windows, you won't see a file list and can't highlight a file.
Also, removing a file from a Playlist does not remove it from your computer. It just removes it from the Playlist.
To remove a music file from the MC Library and from your hard disk, find it in a View under the Audio heading in the left Navigation Bar, select it, hit delete (or the Mac equivalent), then select "Remove from Media Library and permanently delete from disk".
To remove a photo file from the MC Library but leave it on your hard disk so that "Photos" can still see it, find it in a View under the Images heading in the left Navigation Bar, select it, hit delete (or the Mac equivalent), then select "Remove from Media Library".