I'm just trying to be helpful, my friend. I have no knowledge of your level of experience.
It seems to me that you are not doing something wrong, this is a straightforward setting. The fact that the Mac isn't doing what is expected is understandably frustrating.
I wonder are these files located in the trash of your startup drive, or are they maybe located in the trash of external drives... or both?
Have you restarted the computer in Safe mode recently to troubleshoot this?
Can you create/use a second User account to see if the same thing is happening there?