Yeah I’ve ran into that same issue before, that’s just the way WordPress is designed. It keeps your old widgets and pages even if you change themes….which is what you would want it to do if you need to keep your content and switch designs.
If you’re not planning on using your old widgets then you would have to delete them all, or move them to the inactive section. I think there’s a plugin that you can download that allows you to delete all inactive widgets, but I’m not sure if it works on the active widgets as well.