That's just the way the program is designed. If you wish to delete them permanently, delete them from both the incomplete folder and the downloads window. See this thread Tip: Purge the Downloads Queue! (click on blue link)
BTW we don't work for limewire. We are volunteers on a forum that deals with many gnutella programs. LimeWire is one of them. If you need LW Pro support then you need to purchase Pro so you can have access to their email support. We do the best we can. But we are just users of the programs like you, not programmers or paid employees of the forum.

Oh and LW always uses a incomplete folder. Files always initially stay there until they are 100% complete at which time LW transfers them to the download folder.