It does not automatically delete the file- thankfully. Otherwise I would have lost a lot of good takes to accidental deletes. You'll have to erase the ones you don't want later.
Here's how I did it, but keep in mind I haven't used VST 5 for almost 2 years... I might be a little off.
In the Audio Pool there is a function like create master or create archive. The both copy the entire session to a new location, but on copies ALL files (including takes you have removed from the mix) and one copies ONLY files included in the mix. Check the help files to see which one to use.
I used that function to copy the entire session to a new location, tested the new copy (I'm paranoid) then erased the old directory. Takes a while, but its pretty clean.
Take care,
Chris