[itsme]

Note the different wording: deleting a song from a group (setlist, collection, album ...) is entitled "Remove Song", deleting from the songs tab (= deleting from the library) is entitled "Delete Song".

Clicking "Delete Song" from the songs tab shows a "Confirm Delete" window. This contains a warning in case the song is used in any setlist.
If you check "Delete Song PDF/Image/Text Files" not only the song is deleted from the library but also the according file is removed.
There's no need that you know if it is the last song referring to that file, MobileSheets takes care of it. If there are remaining songs that use the same file, as it is usually the case with fakebooks, the file is not deleted, the "Delete Files" checkbox is ignored, no matter if it is checked or not.