They don't. One of the Linkshells I'm apart of has its master on hiatus because of work\school and such, and.. someone in the shell disappeared, I don't recall who but his\her character shows as deleted. It's been that way for weeks now. You can manually remove it, but yeah.. I think this is by design to help signify there was a loss to your shell \ friendlist.. otherwise you might not notice someone is missing for a lot longer.