I assume the current 'click-point-click' function is too slow for you. After selecting the file(s) to be removed, right-click on the remove button at the bottom of the playlist editor or right-click on the selected file(s) in the media library. Then point to 'Remove...' in the context menu that pops up and left-click on the 'Physically remove selected file(s)' option. You may also want to disable the WA general preference to 'Recycle permanently deleted files'.
In the meantime (while waiting for your wish to be granted), Windows Explorer does have a hot-key combination for deleting selected file(s) that also bypasses the recycle bin.