I see the issue as well and have since I began using ST2 prior to its official 2.0 launch. It's like there's a lock on the folder somehow.
I've seen cases where I've worked on a file in a directory, closed the file, then attempted to delete the directory from Windows explorer and get an error. As soon as I exit Sublime Text I can watch as the folder magically disappears.
It is very frustrating when building software that writes log files into directories which then get deleted on the next rebuild.
OS: Windows 7 Pro x64
Nightly Channel, Build: 2218