Another possibility: If another job has the file open, then the delete won't work. In my environment (running cygwin under Windows XP), I see this all the time. IIRC, cygwin has a background thread, so if you remove the file, it will actually be deleted after the other processes release the file.
As an illustration, create a simple text file called zanzibar.txt, and run the following program in a window.
open INF, '<', 'zanzibar.txt' or die $!;
close INF or die $!;
Then, in another window, delete the file. On my system, I see this:
roboticus@swill$ rm zanzibar.txt
If I wait five minutes and look again, it's gone:
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