When you press the Delete key to delete a file, the file is permanently deleted immediately.

Recycle Bin Properties keeps a separate setting for each drive rather than one global switch, so the thing worth confirming is that the drive you checked is the drive the file was actually sitting on. If it is, then the setting really is ruled out, and there are two other things that produce exactly this.

The first is a Windows policy called "Do not move deleted files to the Recycle Bin". It does the same job as that checkbox but it's a separate switch, so Recycle Bin Properties can look completely correct and deletes still skip the bin. You'll find it in the Local Group Policy Editor under User Configuration > Administrative Templates > Windows Components > File Explorer, or if your edition doesn't include that editor, look for a NoRecycleFiles value under HKCU\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer. If it's set to 1 there, that's your answer, and it would explain every drive at once rather than just one.

The second is where the file lives. Deleting from a network location generally doesn't use the Recycle Bin, so those go straight out. And if it's a OneDrive file that's still online-only, there's no local copy to move anywhere, so Windows removes the placeholder and the file turns up in the OneDrive recycle bin online instead of yours.