Судя по мануалу оно должно удалиться.
Note: Once the subwindow has been added, its parent will be the viewport widget of the QMdiArea.
ЗЫ. А вообще:
When you create your own subwindow, you must set the Qt::WA_DeleteOnClose widget attribute if you want the window to be deleted when closed in the MDI area. If not, the window will be hidden and the MDI area will not activate the next subwindow.