I was also looking for the solution to this. Like the earlier posters, I assumed this was a built-in functionality of the plugin.
For the time being I will solve it with SQL-calls directly to the database. It seems that deleting a subscriber in the backend does nothing else than remove her from the table wp_newsletter, which stores the subscribers. It does not touch the table wp_newsletter_user_log, which I would have expected, as those data are kind of obsolete after the user is deleted. But they are no problem in terms of privacy (but IANAL).
These are the two SQL statements that I will run at least daily:
DELETE FROM wp_newsletter WHERE status=”S” AND created < DATE_SUB(CURRENT_TIMESTAMP, INTERVAL 7 DAY)
DELETE FROM wp_newsletter WHERE status=”U”
The first one deletes all subscribers, who have not confirmed within 7 days (change that number to suit your needs).
The second one immediately deletes all subscribers who have unsubscribed. No need to have their data lying around anymore.
Note: The first SQL statement only covers the normal subscription process! If for any reason you change the status of a confirmed user back to unconfirmed (in the backend) that user would be deleted immediately if she was created at least 7 days ago. But I cannot think of a good reason why one would want to do this in the first place…