Strange, you should be able to highlight multiple files or folders, right click and it will remove all selected files or folders (you can't mix files AND folders, you have to do files and folders seperately).
As for why it didn't move the PDF? Odd, it shouldn't treat a pdf any different to any other file. Are yopu sure you didn't have the pdf file open at the time? You can't move a file that is currently open.
I'll put some error checking round it, and perhaps a simple install and un-install....