If I check it (or not) file does not delete from the hard disk. Probably when you updated IDM, its executable file size changed, and your FireWall blocked. Thats because a virus can replace the file with its own, and get access to the Internet. Many FireWalls check the size of application executable file that try to access the Internet.
26-page PDF instruction with full detailed description of how to use the panel When deleting torrents there is an option to Also delete files on hard disk. IDM is not allowed to download or run in FireWall settings.advanced control for trackers, peers, and torrents (torrent queueing and prioritizing). support for all BitTorrent extensions: Magnet/BitComet, Peer Exchange, DHT, etc. integrated and customizable search: on most famous BitTorrent search sites. More than 18 tutorial videos explaining how to use the retouch techniques in your work similar user interfaces with µTorrent (for a smooth transition).