When saving Logic Songs as a Project, if you set the Audio Files Not Used In The Arrange Page parameter to "Leave," it can cause a problem. Logic does in fact leave the files behind, but it doesn't always remove them from the Audio window. What this means is that if you physically delete these files from the disk, Logic will ask you for them every time it loads the Song. You can delete these references by opening the Audio window and choosing Select Unused from the Edit menu. You'll see these 'orphan' audio-file references selected (just make sure that they are blank boxes and don't have waveforms displayed), allowing you to delete them.