That's a good idea. It could be called the Calibre "Senate" preference. The preference for sober, second thought!
Edit: As I had just come close to, but hadn't actually, deleted a book this way I thought it might be a good idea to check what warnings, if any, existed about the deletion (something I probably should have done before posting!). It appears that the deletion does happen without warning or confirmation, whereas the "Remove Book" function does have a confirmation dialog. So all levity aside, yes - this is a good idea, and one that would get my vote for a bug fix/improvement.