As you note, the correct behavior is for the app to automatically close the window associated with the deleted message.
This is what the copy running on my computer does successfully.
Why it isn't happening for you is a mystery.
Three suggestions:
1.) Submit your question to the Thunderbird support forum
<http://forums.mozillazine.org/viewforum.php?f=39>
2.) Select and install an add-on which may overlay the deletion code and correct it's action
<https://addons.mozilla.org/en-US/thunderbird/browse/type:1>
3.) Try upgrading to Thunderbird 2.0.0.9. Unless you're already running it of course.
.d.