They can be a pain but there is no way I know of preventing these messages - and I guess Amazon wouldn't want them to be prevented because they're trying to make the Kindle accessible to people who may not be very tech-savvy.
So bottom line is either delete one-by-one off the Kindle or hook the Kindle up to your PC and delete the whole load in one go.
Be a very nice feature if the Kindle could delete multiple files at once - bit like the process where you can add multiple books into a collection, that would do nicely.
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