There is a second, similar issue here too. In the docs, Auth0 Management API v2 says “Deletes a connection and all its users” however if a user is a linked identity, the linked identity will remain even after the connection is removed.
Not sure if that’s the correct behavior, but it should probably be documented:
“Deletes a connection and all its users except for linked identities, which must be manually deleted from each individual user.”