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Strange,are you sure you are removing from album? It should work.
If you tap longer on a picture in album,you should get the option to delete.
Can you check if the same occurs in safe mode?
http://talk.sonymobile.com/t5/FAQ/How-to-boot-your-phone-into-safe-mode/m-p/348008
It should as it is default.What device do you have?