Data is removed from the indexes on delete, as well as maintained on update and inserts, in Sql Server
However, the table and index statistics aren't automatically updated unless you affect enough of the rows in the table with your query.
That threshold is as I recall 20% of the table by default, so if your delete affect less it might be worth it to update statistics yourself.
This is usually where the confusion around the indexes are coming from because statistics are a part of index usage (the engine is using statistics to calculate when to use various indexes) and the can be 'old' even while the actual data is removed from the physical index.