You see, this is yet another case where OSX isn't that different to Windows.

In Windows if you'd have asked to delete thousands of files via Explorer, it too would have taken a long time to do it (it is much quicker in a cmd window and it would have been much quicker in OSX's equivalent of a cmd window).

With the Trash, again it isn't much different. If you had deleted files using Explorer on a fixed disk on Windows, without holding down shift at the same time, it would have moved them to the Recycle bin just like OSX did to a Trash folder. The only difference is that OSX does the same on removable disks, whereas Windows only does it on fixed disks.

OSX doesn't have a builtin equivalent of shift-del to bypass the Trash, you do have to Trash the files and then empty the trash (unless you are on the command line when all that is bypassed).

It isn't that OSX is dramatically different to Windows, you're just very used to the precise way that Windows works...

And for the record, while I jump back and forth between Windows and OSX many dozens of time each work day, I had to go and plug a flash drive into a Windows box to check it behaved the way I thought it did when it came to Recycle bins and removable drives