This is the correct behavior for the Data Importer. When an asset is marked as 'CI' and NOT selected to be an 'Asset' or 'Managed by APM', then the data importer will not remove the asset. This record is a CI (configuration item) only and should be managed by Service Desk.
Determine if the asset should be a CI only or also an asset.
If the asset is a CI only, then remove the CI record from Service Desk.
If the record is also an asset, and you want to manage it from within CA Asset Portfolio Management, then select the 'Asset' and 'Managed by APM' check boxes for this asset in CA Asset Portfolio Management. This will then allow you to remove the asset using the data importer.