Try redownloading for latest version (1.09); the new version should detect and remove missing files better.
Let me know if you still find it leaving thumbnails of deleted files.
The reason I ask how you deleted the files, is that there are essentially two ways to delete files, one is using the Delete key, which tells MMB to handle the deletion; the other is to use the right-click context menu, which let's windows explorer do the deletion; the latter case I wasn't updating the view, but I now am.
If the program detects a change in the monitored directories, it has two options. One is to do a full rescan of the folder(s); this is slow but would detect any changes you make outside the program (renaming, moving files in or out, etc.). MMB will do this is there are only a few files show (< 100 files). What I've added now is that if there are > 100 files, and it detects a change in the folders, it will simply rescan your selected images and find any that are now gone. This should handle most cases, though it does mean that for large directories, if you add files outside the program, you will need to do a File -> Rescan to see them.