LW 5 'does' delete the incomplete file from the incomplete folder when you Cancel a download. Have you checked to see if in fact you are using the same Download folder, you may have two incomplete folders on your computer. Search incomplete & see if you find more than one.

With LW 4, two choices of removing incomplete files. First you must cancel all the files from the download window. Then go to Library window, select incomplete folder & select all the incomplete files. Then press the Delete button. Other method after canceling downloads is to go to the incomplete folder & send them to trash.

If these methods do not work, then chances are you have some kind of virus in your incomplete folder, else you are lacking computer Administrative permissions to delete the files.