AMQ Journal data files never deleted

Does anyone have any ideas why the data files in the journal folder are never deleted.

Test:

Install ActiveMQ 5 / 5.1 on Windows platform
Modify default config not discover / network with other brokers, and set the data file size of the amqPersistenceAdapter to 1mb (so we get lots of files)

publish 10000 messages at about 500K each using the ActiveMQ .net client to a queue.
Subscribe to the queue using the .net client with ClientAcknowledge and attach a listener.
Receive all the messages, acknowledging each one and close client.
Check the queues attributes on JConsole (enqueue 10000, dequeue 10000, queue size 0)

wait for the data files to be deleted. This never happens!!

Any idea?  This is making us run the broker in non persistent mode (not good!) till we find a solution.

Thanks in advance,

Bruce.