Two things to check here. First, the UI sometimes doesn't expose all actions, so just in case try clicking the three dots menu and see whether the Delete policy action is exposed therein. Or to completely bypass any UI-related oddities, connect via PowerShell to the compliance endpoint and try the delete operation therein (via the Remove-RetentionCompliancePolicy cmdlet).
If the PowerShell method doesn't work either, double-check the permissions. If your GA role is activated by PIM, make sure some time has passed since activation, and refresh the portal.