I've seen this plenty of times, but maybe if was fixed in the last year or so. My issue was when trying to delete a Linux source tree that was git cloned on Linux onto a flash drive. Maybe the filesystem had something to do with it, but it was entirely impossible to delete it using any tool I know of in Windows.
I think they have changed it so that you can by now create files with forbidden names and an extension. But that's a somewhat recent change.
Also you could always create such names with the right APIs, so one application could create such files, but another can't delete them or open them.