No, it is not!
Please read the message: "The operation is not supported for this type of archive". That's it - deleting the file from the archive is not supported, and it's clearly stated - so it's not a bug. The archive is a solid RAR SFX - and it's not possible to delete files from solid archives (that would require avast! to recompress the archive, but the RAR compression algorithm is closed).
Simply put, avast! is not an archive processing tool, allowing you to do whatever you want with them. It is trying to do its best, but there are some limits.
The "Delete all" button does the following: "try to delete all next detected files, without stopping and displaying any windows". You are right that in some cases, a (failure) message should be displayed, but that would go against the idea of not stopping with any windows...