There's been a change in thinking over time to make apps less powerful as to file management. I see them thinking WMP (Windows Media Player) is a player and not a file management system.
I doubt the file delete will return.
I used to be able to delete files directly from the playlist. Now, the only option is ' remove from playlist', which leaves the file intact. There's an option in settings for ' delete files when deleted from library', but there's no longer a ' delete' option. Any thoughts?