It is not an Issue, the only option we have to delete file when we click on right mouse, it is to move file to trash. If you want to delete it, you need to go in the upper menu edit and you will find the remove file from disk.
All is done from the file from Batocera, you need to press F1 from menu and you will be redirect to linux browser.
If you need other info, let me know
Hope will help!