That’s correct. “certbot revoke” doesn’t delete anything.
(And you don’t need to revoke a certificate before deleting it, unless the private key has been compromised, or you no longer control the domain(s).)
“certbot delete --cert-name MyDomain” can be used to delete a certificate’s files. (It doesn’t revoke it.)
Update: In newer versions of Certbot, “certbot revoke” can optionally delete the certificate files as well.