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I believe you are confusing the Smart List, which is just a database query with the leads that appear in it.
if you want to delete the Lead itself, you can do so using Delete Lead>Delete in CRM=F
If you want to delete the Smart List, just right click on the smart list name. In this case the leads are not actually deleted.
If you want to adjust the Smart List to NOT include the leads you mention, edit the criteria or filters.