They have made dormers to be a completely independent , almost like a new 'building', that is why it is in 'parts' but also the reason why you can indepentantly edit walls, roof.
So, with the flexibilty comes the problem you are experiencing.
I have looked into this further based on the above observations and have to retract my previous solution.
Here is what is happening and it is as designed , not a bug.
When adding a dormer you get walls and roof, just as if you had drawn them by hand. This gives you flexiblity to adjust all aspects of the dormer and also to add windows. You are in control.
To modify you must move walls or drag roof edges, just like a mini model. I think that is fantastic!
Now to remove a dormer , you must do as you have said , delete the individual parts. The easiest is to go to 3D hold down the shift key and select all the walls and roof then hit delete.
The remain item to be 'removed' is the opening (whick is normally done by right click / remove opening command) BUT this is NOT an OPENING
What has happen when the dormer was inserted, the Roof Properties / Solution Type / is set to cut opening around next story.
Simply change that Solution Type to 'Ignore Next Story" after deleting and your ready to continue on or add a new Dormer.
One other thing, the 'back side' of the Dormer must be 'open' so from the inside you can see out. The auto Dormer option then automatically draws 2 side and 1 front wall but the 'back side' must also be closed in order for a roof to be added. This would be a technique used in normal wall / roof construction.
So, what is used to close off the back side ? A 'room division' line is used , which is in essence an invisilbe wall .
Make sure you go back to plan view and delete the little dotted line that is that 'room division' tool line.
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This is the final solution :-)
Delete walls / roof of Dormer. In View filter set Roof to be not selectable. In plan view click on backside of opening to select that little line (room division) / delete it, then turn the roof back to selectable , grab the edge of the roof and drag it out and the opening will disappear.