Yes, the same behaviour is observed under IE11. I did some further experimentation, and have narrowed down the issue. If there are multiple entries in the site list - e.g.
site1
site2
Scenario A
Clicking delete (trash can icon) for site1 will reduce the list to:
site2
Now delete site2 and reboot the router. Site 2 will still be present. This is a bug.
Scenario B
Clicking delete (trash can icon) for site2 will reduce the list to:
site1
Now delete site1 and reboot the router. The list will be empty. This is as expected.
Workaround
Delete sites from the bottom up - i.e. site2, then site1.
Note: the test was done from a wired computer, with no other devices connected to the router.