I think what happens is that the “recursive” has become a idiom associated with 
directory to such a degree that the unix people don't know what the fuck they 
are talking about. They just simply use the word to go with directory whever 
they mean the whole directory.

In the emacs case: “Recursive delete of xx? (y or n) ”, what could it possibly 
mean by the word “recursive” there? Like, it might delete the
directory but not delete all files in it?

It might *try* to delete the directory but not any of its contents, yes. If such functionality is not offered, then putting the word in the user interface is redundant, and possibly not the best way to warn the user of potentially a massive loss of files and directories. But the algorithm employed is indeed recursive.

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