Ah, right. The source objects were indeed in the Default layer, and attempting to delete that layer after moving the source objects still results in this super disappointing dialog:
So, I’ll take back all that bravo and still say that this is one of the more atrocious UX issues Rhino still has (together with the inability to double click to edit nested blocks).
The narrow focus of feature development, and that new features aren’t implemented generalized enough to spread to other similar parts of the app is really disappointing. Still wish there as a pro version so McNeel could spend more resources on fixing their technical debts and catch up with the rest of the field (and I say this as I recently read that the Object Lister was pushed to Rhino 9, which is also an extremely basic feature that users have been asking for for years and years).