Кстати еще раз глянул в исходники CBitmap

afxwin.h

class CBitmap : public CGdiObject
{
    DECLARE_DYNAMIC(CBitmap)

public:
    static CBitmap* PASCAL FromHandle(HBITMAP hBitmap);

// Constructors
    CBitmap();

    BOOL LoadBitmap(LPCTSTR lpszResourceName);
    BOOL LoadBitmap(UINT nIDResource);
    BOOL LoadOEMBitmap(UINT nIDBitmap); // for OBM_/OCR_/OIC_
    BOOL LoadMappedBitmap(UINT nIDBitmap, UINT nFlags = 0,
        LPCOLORMAP lpColorMap = NULL, int nMapSize = 0);
    BOOL CreateBitmap(int nWidth, int nHeight, UINT nPlanes, UINT nBitcount,
            const void* lpBits);
    BOOL CreateBitmapIndirect(LPBITMAP lpBitmap);
    BOOL CreateCompatibleBitmap(CDC* pDC, int nWidth, int nHeight);
    BOOL CreateDiscardableBitmap(CDC* pDC, int nWidth, int nHeight);

// Attributes
    operator HBITMAP() const;
    int GetBitmap(BITMAP* pBitMap);

// Operations
    DWORD SetBitmapBits(DWORD dwCount, const void* lpBits);
    DWORD GetBitmapBits(DWORD dwCount, LPVOID lpBits) const;
    CSize SetBitmapDimension(int nWidth, int nHeight);
    CSize GetBitmapDimension() const;

// Implementation
public:
    virtual ~CBitmap();
#ifdef _DEBUG
    virtual void Dump(CDumpContext& dc) const;
#endif
};

afxwin1.inl

_AFXWIN_INLINE CBitmap::~CBitmap()
    { }

afxwin1.inl

_AFXWIN_INLINE CGdiObject::~CGdiObject()
    { DeleteObject(); }

Вроде все хорошо... должно удаляться