Still, doesn't the vector destructor call the object's destructor upon deletion?
A vector does call a destructor for an object it holds when that object is erased, but this vector is storing pointer objects, not Entity objects.
So basically the vector is calling a destructor for the pointer object (which is perfectly legal), but that doesn't mean the destructor for the object the pointer is pointing to gets called or that the memory consumed by the object the pointer is pointing to gets released.