I assume you have a model Mac that Apple has documented to officially support Windows 10. If not, then this answer may not apply.
After holding down the option key until the icons appear, you can permanently select default operating system to boot from by holding down the control key before selecting label below the desired icon.
Next, you have not completely deleted Windows 10. The Windows 10 boot files do not reside in the partition you deleted. The files actually reside in the first partition of the internal drive. This partition contains the volume labeled
Step to remove Windows files from
Enter the following command in a Terminal application window. This will mount the
EFI volume. This volume will appear as the device labeled
EFI in the Finder application.
diskutil mount disk0s1
Remove the folders labeled
Microsoft from the mounted
EFI volume. The image below shows the location of these folders.
Enter the following command in a Terminal application window. This will unmount the
diskutil unmount disk0s1