Can't reproduce. Neither with 4.0 nor trunk.
Maybe a snapshot will help.
The snapshot shows there are 6 breakpoints set in the source.
In the "Breakpoints" window, 3 have been selected.
Clicking on the icon that has the little red X, causes all the breakpoints to be deleted, not just the 3 that are selected.
I think that when there are selected breakpoints the "all breakpoints" should be the "all selected breakpoints".
That said, it would be "nice" if the icon was for "delete selected breakpoints" instead of "Delete all breakpoints".
While it did delete all the breakpoints, I believe it is more common to select some breakpoints to delete. Making the icon's purpose to delete selected breakpoints instead of "all breakpoints" seem something that will likely be useful more often (in addition to prevent undesirable surprises.)