As Remus said, if you're using full recovery model then things are complicated. But even under simple recovery model you need to keep in mind that CHECKPOINT invokes the garbage collector (GC), but it doesn't guarantee that GC will delete all the files in a single pass. GC currently has a limit on the number of operations it may carry on in a single invocation.
Furthermore, files are deleted with FILE_DELETE_ON_CLOSE option, therefore as long as there are open handles to a file, you will still see it, even though GC may have already deleted it. Such open handles may be held by anti-virus programs or other file system filter drivers.
After some more research (and thanks to Paul Randal's blog - lots of very detailed information surrounding filestream and garbage collection), once the rows are deleted and a checkpoint is executed, the files are put in a system table (Tombstone table), then every 10 seconds a process (Ghost Cleanup) runs and remove some items from that table (20 to be exact). So basically we are limited to 2 deletes/seconds and there seems to be no way (yet) to change this behavior.
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