I just added the following note to the Modules page:

The delete links below will remove all record of a module from the database tables, but to remove a module completely you must also manually delete its .module file and exploded module directory from your LabKey Server deployment directory. Module files are typically deployed in <labkey_deployment_root>/modules and <labkey_deployment_root>/externalModules.

Seemed best to show these instructions on the page that displays the delete links; I didn't modify the confirmation message.

Thanks for the suggestion...

Adam