So when I delete photos in Lightroom Classic it asks me if I want to delete them just from the catalogue or from the disk. If I choose the latter Lightroom tells me that I can find deleted photos in the recycle bin but they just don't show up there.
The Mac OS itself can't do anything when it goes onto the bin. You have to go in there and manually get the file out.
What Ken said is normal. If you choose Delete From Disk the file goes into the bin and the metadata is removed from the catalogue. I've never used Remove From Lightroom but I imagine the metadata is also removed. I just tried it on one file and as expected it disappeared LrC but was still there in OS folder structure. I would find Remove From Lightroom very inconvenient to use because now the file/s still exist but I can't see it/them in LrC. For me over the years it would create a massive clutter.
If you use Delete From Disk and still don't see the file in the bin there are a few things you can try. Sometimes re-setting preferences can solve unusual problems. If not try an LrC reinstall.
Is this just a wrong setting in Lightroom or on my Mac or what could be the cause here?
Just in case. I don't know how well you understand how the LrC catalogue works. Sorry in advance if you know this but I have seen people get into trouble. Just because you have to import LrC does not mean it creates its own set of files. The catalogue is just a database that keeps a record of your adjustments. The only reason for importing is so LrC can read the files metadata and add it to the database. Also it tells LrC (the database) where your files are located. You have total control over from where you import and where you want to store the files. LrC does not control that.
This is why I mentioned that when I used Remove From Lightroom it disappeared but when I looked in the folder structure where I store my files it was still there.
Here is an example of my OS file structure which is on an external drive. I keep all my files there.
Here is the LrC library. It just mirrors the OS structure. I can open any developer and I'll see the same thing. NOTE. LrC starts at year 2011 because that was when I started using it. I did not import the previous years so it does not know those files exist. If I had of imported them then it would be identical to the above example.
One more. Here is what I see when I open Canon's DPP.
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Not my circus. Not my monkeys.