You can delete these files from Lightroom. Select them, then press delete.
You don't want to delete files in Finder. If you do that Finder will still retain the preview and report the image as missing. Finder is looking at the same image that Lightroom is. So simply delete the file using Lightroom.
No no, i've not been clear. I want to delete a number of files at the same time, in one step.
I know the correct way to delete / remove files.
What I mean is:
How do I get LR to show me where a number of files live on my hard drive and select them. (Then in the hard drive I can delete them.)
Using 'show in finder' is great, it shows me where a file lives and I can delete it.
What if, i'm searching in a smart folder for images that are less than 5 star, as an example, i locate these images then want to delete them, i get the error message, 'cannot delete / remove files directly from a smart folder'.
If i could tell LR to simply show me where a number of files live (not ONLY one file) on my computer, i could happily then delete them.
Showing the file as missing does not concern me.
Is it any clearer?
Yes, its clearer now, and it would have been very helpful is you had expressed these details at the beginning.
So, in your smart collection, select all of the photos to be deleted, then press X. Select "All Photographs", then Photo->Delete Rejected Photos.
Using splat-delete, you can (I often do) delete photos whilst in a collection or smart collection.
Caveat: only works in library module, not develop module (curses..).
Windows: ctrl-shift-alt-delete (I'm sure).
Mac: cmd-shift-option-delete (I *think*).
It won't prompt prior to deletion, so consider yourself forewarned, BUT it does put images in recycle-bin/trash (if volume supports it), and will assure deleted photos are removed from publish services etc.
'X' to reject then delete is safer, but splat-delete is quicker.