You generally don't delete files from a CDN. They just get evicted when they are the least recently used, which may never happen if the URL is still in circulation.
Facebook may have set near-infinite Expires/Cache-control headers on their static content, since it never gets overwritten. In that case, the CDN never goes back to the origin to check if the file is still there. The CDN they are using probably does have the ability to explicitly remove files (e.g., to respond to DMCA take-down notices), but probably doesn't have the ability to do this at Facebook picture deletion scale.
In other words, Facebook probably can't do much about it unless they get the CDN provider to make a big investment, build their own CDN, or switch to another provider that does support it (usually a costly decision).