Hi Shyam, Yes this is correct. It is not a bug because this is an Arduino rule. 

Arduino does not have the concept of a project so it builds all files in the sketch folder. The Visual Micro addin is 100% compatible with Arduino, which is good and bad 

You will see that if you close and reopen any Arduino project, visual micro will add back any files that you previously remove from the project. so you have to move or delete them.

If we allowed anything else then we would loose compatibility with Arduino and the APM make files would also fail.

An option is to create a folder below the sketch with a name such as "Obsolete". Then move any files you don't want to include in the project into the folder. Another Arduino rule is that it only builds files in the sketch folder, sub folders are ignored. 

We can make great use of this feature. Click on the project node in the solution and then click "Project>Show all arduino files". Notice all of the apm libraries are included in the project. Click the menu again to remove the libs. This shows we can add any files we like to the solution to help us develop and see code more easily but all that is compiled is what the Arduino IDE normally sees.