Go to the Search tab, and type in "refs = 0" as an advanced query (without the quotes). This will give you a list of the tracks that are no longer referenced by playlists -- i.e. the ones you were trying to delete before.

You can then just delete these. This will mean that you now have left only those tracks that are still in playlists.

And remember to check that box in future. It's almost always the right answer.