Thanks for the repro, @Logo. I think it doesn’t have to do with what you select. If you click on remove twice, with the game paused, it will cause the bug.
But if you reload the game after those steps, it will stop the effect. That is the bug from this thread: Smoke particle effect remains after demolishing a building
However, if you get an engine error like the one that Quigster posted, the effect will still be playing after reload.