Linux allows one to delete files while, even if they are in use, as long as one has permissions to do so. Files is not actually deleted until processes using them (SQL Server in this case) terminate. This behavior is different from Windows, where in use files cannot be deleted.
Yes, it is bad to delete database files on any platform except for specialized cases. File/directory permissions prevent accidental deletion. One needs to do so from an elevated session on Windows (and when the file is not being used) or by changing the user context on Linux,. Only administrators, who should understand the implications, can do that.