Construct requires at least 1 instance of every object to be added to any layout (in the editor). This instance is used as a reference when you are creating new instances of the same object with events. For example, if you set angle=30 to that instance, all new instances will be created with angle=30 degrees.
If there is no "reference" instance, then Construct doesn't know how to create new instances. That's why your project doesn't work when you delete the sprite from the layout - it simply stops with an error (if you open browser console, you'll see it).
You don't need to add that reference instance to your main game layout. A common approach is to create an unused layout called "Assets" and keep all such instances there.
If I add an event to destroy that very first instance, it seems even not to create the other instances.
It works if you do it like this: