Yes, this is because of the unfortunate magic built into some of the native commands and the regular button engine.
If your button does not seem to make use of Select and there are no items currently selected, the Delete command will refuse to do it's job. It's the same for some other native commands iirc. To get around this, you need to add a dummy command at the top. This command will fool DO (or the Delete command) into thinking there are files selected and it will get to work eventually after SelectEx finished its selection. It's weird, I needed to try and was only lucky to remember this oddity, but that's how it is. o)
These kind of irregularities make handling buttons and codes quite unpleasant at times.
This can drive sane people mad, right? o)