When I delete an extrusion, I right click on the feature and click DELETE. But that process still leaves the sketch in the tree. So I repeat the same process for the sketch. Seems like this should be able to be done in one step.
It's likely that you have dismissed the delete dialog (you can undismiss it in your system options.) in that dialog that comes up when you delete the feature you get the option to delete the children (i.e. sketch.)
Retrieving data ...