You can delete a Note:
1. from the Project tree and therefore permanently
2. from one Sheet but not from other Sheets, and neither from the Notes branch of the project tree
To permanently delete a Note, you need to delete it from the Notes branch of the project tree
Open the 'Notes' branch by clicking on it or the [+] sign, move to the Note (type the first letter to jump to it) or click it and then either hit [Del] or right-click and select Delete from the menu that pops up.
When you delete a Note from a Sheet or a Sheet window, it does disappear from the Sheet, but not from your Project. When the Note was related to another Note on the Sheet, you can simply expand the Note or jump the the related Note you just deleted, and visualize it again. Only when you delete a Note from the Notes branch in the Project tree, it will no longer be in your Project at all.