There have been a few threads in the general forums about this issue with no real answers. So time to ask a ninja.
Links to a couple threads with the same issue.
I know that I can delete files from the web and both Rokus sometimes. But not always. So I know i have my setting correct. I have noticed that it seems to be related to when new files get added to the library while watching something. If something gets added I am unable to delete the file I was watching either from Plex web or apps or from Windows without killing all of the PlexScriptHost instances.
When I use Lockhunter it shows at least a couple if not 6-10 instances of PlexScriptHost locking the offending file in Windows.