Welcome, Digi.
The Delete function applies to whatever items are selected in the list. If multiple items are selected, the delete key will not work (a safety measure, I assume), but you can still select Delete from the Movies menu or the toolbar.
Understand Delete just makes a record "invisible"—it doesn't delete the record from the database. This is to maintain the integrity of the database. For example, the movie you want to "delete" may exist in filmographies, so the record needs to be maintained for that purpose. If it's not needed for anything, it will purged when running Optimize database with "Delete movie orphans" selected. If you really want permanently delete a record, you may do so by pressing CTRL as Delete is selected—as explained in the warning message displayed whenever Delete is selected.