Hi @John L,
Based on my research, if you hit delete on the download list, the file will be deleted from your computer.
It is effective for all downloaded files and it's a default feature on edge.
Announcing the Open/Save as/Save and Delete prompts for downloads! - Microsoft Community Hub
Also, you could try to go to the edge://downloads/ to delete files and it will only delete the download history.
Best regards,
Wenying Lu
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