On my system (Windows 7), it will definitely delete folder from disk when removing from Lr, if the folder is empty, and won't if it's not empty.
So be sure to check with your OS if it's 100% empty - you must be able to view system and hidden files to be sure.
It's likely to be a NAS/OS issue....removing an empty folder from my Synology NAS does not delete the folder, whereas if I do the same with an empty folder on a USB3 connected external drive the folder IS deleted.
But Rob is also correct, the folder would have to be empty for delete from the disk to happen.
I finally got back to this after a few crazy weeks at work. JWtest is correct (and I expect Rob Cole as well). I tested with an empty folder on my Mac and removing it from Lr also deleted it. However, on my Synology NAS, Lr leaves the empty folder after removing it within Lr. I can delete NAS folders from within Finder, so clearly the OS is capable of it; I gather it's an Adobe choice to not delete empty NAS folders removed from within Lr, but I can't imagine why. This is really a nuisance. After culling photos or doing a bit of reorganization, I'm bound to end up with empty folders that I now have to remove from within Lr and delete from the NAS via Finder. Sigh.
Thanks to both of you for the quick responses.