How are you deleting them, via the Graylog GUI? Have you tried recalculating the index ranges? (System->Indicies->click on the index, click on maintenance button…) Have you looked in your Graylog log files? Graylog will post in there when it makes retention adjustments and ought to post an error if it was failing.
tail -f /var/log/graylog-server/server.log
You could rotate indices manually to get a reaction in the logs