It's because the shape is actually a fill with a layer mask (a vector mask) and when you hit delete on the layer it deletes the mask first.
To address your comment:
Photoshop simply does not do vector shapes like Illustrator, you can't create multiple shapes on the same layer and manipulate them individually. (At least not like you'd want to).
Each shape should have it's own layer. For organizational purposes you could put them all inside a layer group.
But to maintain the maximum amount of customization on these shapes they should have a layer all to themselves.
If you really need to work with shapes like you do in Illustrator, then you should be working in Illustrator.