The file is not in the database, it is in the filesystem. But the file is referenced in the database and that is also why you can see it in the WP Media Library.
If you delete a media using my plugin, both the file and the database entry is deleted. Because it's not possible (or a bit complicated) to restore the database entry, I remove both (file + database entry) permanently, hence the warning message.
Sorry if it was not clear. If possible, can you suggest me a clearer message? My English is not native so it would be great to have my explanations, warnings and random messages a bit more straightforward.
Thanks and sorry for the late reply.