It depends what tool you're using in Photoshop. Could you specify what tool you're using to make the rectangle?
If you're using the pen tool your path will still be there when you delete a layer. If you're trying to add a stroke to the path right click on the path you created and just click stroke path. (I'm also going to assume that's probably what you're using since that's what I myself would use in illustrator to make that..) You should get menu giving you a list of tools, I would just pick the brush tool if you're trying to create a stroke. You can also edit what the stroke looks like by changing to color and the type of brush and size of it before you make the stroke while using the brush tool.
If you're trying to apply something like a fill you can also just right click the path and click fill path.
I don't think you're misunderstanding how layers happen to work it's just tools you might have used in Illustrator behave differently in Photoshop.