So, for now I am just using SHIFT DELETE and then hitting ENTER twice. But in searching online about this, I found lots or references to the default in Thunar being no confirmation (in fact, people wanted to ADD confirmation), so I know it's possible; thus I assume this is something set up in Linux Lite, perhaps for new users as a safety measure. But I am a grownup, LOL; when I want to delete a file, I want to delete it, and I don't need hand holding. I'll take the consequences if I make a mistake.
Of course, you can just hit DELETE (no SHIFT), but that moves it to the trash so you still have to delete it later. Is there a key command for that?