The latest version of macOS, Catalina, has a lot of quirks (to put it nicely). One crops up in Photos when you’re working with manually created albums—those are albums into which you choose which images and videos appear, as opposed to smart albums, which rely on search criteria.
In Mojave and earlier versions of macOS, you could select one or more images in the album and either right-click to Delete X Images or use the menu item Image > Delete X Images. When confirmed, that would remove the images from your Photos library, as opposed to Image > Remove X Photos from Album, which removed the media from being part of the album being viewed, but left the photo or movie in your main library.
