1.What is the license for your account? Make sure the account has E5 license.
Similar issue: https://learn.microsoft.com/en-us/answers/questions/1349191/missing-create-new-retention-policy-option?page=1#answers
2.Click three dots to check whether has delete option.
3.Try to delete through PowerShell.
https://learn.microsoft.com/en-us/powershell/exchange/connect-to-scc-powershell?view=exchange-ps
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