For sideloaded epubs there is a file for each opened book in the Digital Editions/Annotations directory which stays on the device after the book is deleted. I don't know much about it as I don't make annotations, but I think to completely remove all traces of a book after it is deleted you would also need to delete all files under the Digital Editions/Annotations and Digital Editions/Manifest directories that have the same base name as the deleted .epub.
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