What's happening here is that your selection is becoming completely transparent on that layer, which results in showing what's on the highest visible layer below your current layer. In this case, this the fill from Layer 1. As far as I know, this is a behavior that has remained constant for some time. I cannot say for certain but this is how Photoshop handles deletion of a selection since I've been using it which was sometime in the midst of CS4's software lifecycle. To make that entire selection transparent on all layers by deletion, you would need to make the selection on the layer you want to delete information from, and then use that same selection on any other layer which shows information below it.
This being said, using deletion is typically the wrong way to go in any scenario for multiple reasons, one of them being that one should never ever delete information in a way that cannot be undone. If you ever have a problem where you need to revert and have no "undo's remaining" (such as if you saved/closed/reopened the file), you'll be stuck and you may have to end up redoing/replicating elements, which may or may not go as intended.
Instead, use layer masks. In this scenario, you would make your selection on a layer, then click the "add layer mask" button on the layers panel. This will allow you not only to make specific areas transparent for a given layer, but this layer mask can be easily copied to other layers. Additionally, if you ever wanted to revert the change, simply delete the layer mask(s) and you're back to what you had before (or even better, "disable" the layer masks so you don't lose your selection/mask configuration either). Additionally, this can also help with saving selections that you may want to reproduce later for other operations without going through the hassle of making the same selection all over again.