- Delete File(s)
- Select Unused
These are two distinctly different operations. The reason you're getting that warning is because you're using Delete File(s) as opposed to hitting the Delete key. On the other hand, using the Select Unused function and then hitting the Delete key won't produce that warning message.
I don't believe that using either function will permanently delete apple loops. Anything you drag into your arrangement from the Loops library are copies of the files that exist on the disk.
I'll venture to guess that you have a project which you've saved at least 6 different copies of, whether they have the same name (in which case those copies are backups made each time you hit CMD-S), or, 6 variations of the same project (each of which have at least one audio file in common but which is unused in the arrangement) or some combination of the above. It's the fact that you're trying to delete a file which isn't used in all of those project files that's resulting in the warning message you got.
Suggest that you take another approach...
Use the "select unused" function and then use the "move files" function to move any unused audio files to a new folder (create the folder yourself and name it "unused" or something). Now do a Select Unused operation one more time and hit the delete key (do not use the Delete File(s) function). This will now clear the bin of unused regions as well as references to unused audio files. However, those files will remain on your system. But if your goal was to actually delete those files from your system, go into the Finder and simply delete that folder. And you always have the option of viewing the contents of that folder before committing those files to the trash.