No that mark means that you've moved the original files out of the iTunes Music Library folder. You should never manually move files in or out of the iTunes library folder. If you wish to delete a file, then select it, press delete & it will ask you if you wish to remove it from your playlist. If you answer yes then it will ask if you want to remove it from your computer (totally delete the file.)

If you add a song to iTunes where you have more than one copy of the same song then it will include it, but "might" put a small no. next to it possibly in brackets. Though normally I'm not sure it necessarily does that last step. It shouldn't delete it.

The only other alternative I can think of is that one is actually a playlist import but the actual song resides elsewhere such as in your LW download folder (Shared.) So if you move it or delete it then iTunes can no longer access it.

Oh by the way, the above also applies to the LW playlist within iTunes. So if you move the original file, iTunes can't play it. The LW playlist in iTunes is simply a reference to the file's whereabouts so if you move it out of the downld folder iTunes won't be able to find it. Check your main library listing in iTunes for files that are properly imported.