One situation I can think of that might lead to this is: maybe you didn't create the project correctly at the first place. Meaning: you forgot to specify a folder when creating the project and all the related files were created directly onto the desktop. If this is what happened, then automatically, all the shortcuts and files that were already on the desktop got included into your project.
When you chose to delete the project "and all related resources" then all the shortcuts, files that were on the desktop were considered "related resources" since there was no clear separation between the project files and the stuff you had on the desktop. And boom, everything got deleted... except the recyle bin because, well, you don't have enough rights to delete that ( otherwise, I'm quite sure it would have been also deleted ).
If that's not the case, then I don't know... but I don't think it has anything to do with a bug. I always go with "human error" first and look for bugs later...
Titus M. Plautus - Not by age but by capacity is wisdom acquired.