Yeah, at the moment there's no way to delete anything you've imported into MAX from within MAX itself. Once it's in MAX's directory structure, you have to manually go in there, find it, and delete it yourself.
I had put in a request on GitHub to be able to delete stuff like this from within MAX. It might do well for you to do the same. Maybe the more users they see requesting things like this will prompt them to adding it?
Intel i9-10900K 5.10GHz, 64 GB RAM, Nvidia GTX 1080 ti 11GB, Windows 10 64-bit, dual monitor display