The delete message is referring to the copy on your computer that is in the Calibre library. It is not referring to any other copies you might have on your computer that are stored outside the Calibre library.
If you want to get a file out of the Calibre library you can use the Calibre "Save to Disk" feature to export a copy from the Calibre library prior to deleting the Calibre copy.
If you want to keep the Calibre book entry but delete one of the underlying formats stored against that entry then this can be done via the "Edit Metadata" facility. Note that you can also add additional formats to an existing entry via that facility.