This happens because BW has created a Java object which still references the file in memory. After sending has completed, the object is not instantly garbage collected. There are two options.
1). You can try repeatedly removing the file after certain time intervals in the hope that the Java object will garbage collected (GC), as part of normal processing.
or
2). If you are unable to wait, you can explicitly request the BW engine to do a full GC. This can be achieved by adding "System.gc();" to a Java Code activity anywhere before the 'Remove File' activity in your project. As indicated by the Java documentation, System.gc() does not guarantee a GC straight away.