It's just how that works. While a vector layer seems to act like a group layer, PSP doesn't assume you want delete the vector layer just because it's empty. When you have a vector object selected PSP assumes you want to delete the object, but the vector layer is still ready to accept new vector objects. If you want to delete the entire layer itself you want to select the layer not any of its children and then PSP will delete the vector and all of its contents.
In general it works like Levi suggested, but in the case you described terry, If you finalize the path with the Apply button first and then hit the trashbin icon, the whole layer will get deleted, despite showing the path object being selected in the layers palette. At least, that's what it's doing in my end. If you hit the trashbin icon without having finalized the path first, then it deletes just the path object (as you described).
Thanks @migf1. It goes a bit further than before using Apply, but the layer still remains. My puzzlement has gone now that I know it's by design, i.e. in anticipation that the vector layer will probably be needed again.
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Terry, East Grinstead, UK
Using PSP 8 & PSP 2018 under Win 10