If you have an empty paragraph before the widgets, you cannot delete it, nor can you delete an empty paragraph after or between widgets, except by viewing the source.
This can be seen on the CKEditor demo page here: http://ckeditor.com/demo#widgets
just clear all content to run, add a paragraph, add a widget and try to delete the first paragraph.
Please note that in my configuration, I do not fill in the blank paragraphs with an inextricable space, and I get the same behavior, so this does not look like a link. 
This really creates a problem for the content management system.
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