Not sure, but I noticed this at least as far back as LW version 4.16.x
I tried same techniques. I believe it may be a bug that's crept into LW. Might be an idea to post the issue at
LimeWire Forums
In the meantime, if the file is complete, then you could cancel from the download window, go to Library window, select incomplete folder at bottom, press Explore button & remove the file.