The Delete command removes the selected index or catalog from the thinkparts database.

You can find this command in the context menu that displays when right-clicking on a catalog, index or part in Catalog Manager.

After prompting you for confirmation, the command actually removes the selected data from the thinkparts database. If you selected an index, all catalogs in that index will be removed, and all sub-indexes as well.
Removing the catalog does not affect your think3 modelsdrawings; it simply implies that you will no longer be able to insert other copies of it in your modelsdrawings.