No, these are shortcuts in the Start Menu (C:\ProgramData\Microsoft\Windows\Start Menu\Programs).
They can easily be deleted just by right clicking and selecting delete.
In fact, I have the macro set up now to do it that way and it works fine, but I was trying to use the delete file command instead.
You can recreate this issue by creating a blank text file and then create a shortcut to it. Try to get the delete file command to delete the shortcut, not the text file.
It doesn't work in XP either. Maybe I'm just not doing it the right way.