Strange. This shouldn't happen. I double checked (monkey testing) and added your exception line in my UsersController and I get the exception (I'm using the 1.0.0 release).
Please double check that you ran the correct file with the correct code.
The code generated by crud is not very well written because it has two places that allow you to delete a user. One is in actionDelete(), the other is in processAdminCommand().
If you want to make an admin does not delete himself, you may do this check by overriding beforeDelete() in the user model.