The OSM API does not delete empty relations*. Depending on what you are using your editor may do so, but I'm not aware of one that does. A warning is clearly in order, auto-deleting is probably not (there are a couple of reasons why you temporarily might want to keep an empty relation around).
Relations are really easy, they are simply lists of other OSM objects.
Difficulties happen because some times they are very large (and very large lists are hard to manipulate in any medium) and when there are complicated implied or explicit rules in the tagging scheme that define the required relationships between the objects in the Relations.
relations.
JOSM has of late started popping up relation related error messages that are a nuisance and are not really helpful. Typically for example when splitting a way you want the resulting two parts to remain in the relation except if the relation in question is a turn restriction. This however can easily be handled by the editor without involving the user at the time they are splitting the way.
(* empty relations have no associated geometry and as such will not be retrievable except if their id is known once they are stored in the database, so in general they are useless.)