The whole object you're looking at in the dialog editor is a dialog, regardless of how many nodes/windows it has. Think of the word dialog in this instance as "conversation", rather than say "sentence". This is why you cannot use the delete dialog button with a talk to contact objective--it wouldn't make sense to delete a conversation that's required by an objective.
Does that make sense?
If you want to delete one portion of a dialog, you can drag it to the trash, or select it and either click the trash can in the properties panel or use the Delete key.