There are some known issues with the UI experience, in particular when using KeyQL queries. Let's just say that Microsoft didn't properly test the new experience before releasing it (and removing the old one). In effect, you are better off using PowerShell and the New-ComplianceSearch
cmdlet. And you will end up using PowerShell anyway, as the new experience does not support purging items, as you've noted above. So back to New-ComplianceSearchAction
.
The Graph API method should also work, as the issues are only with the UI, afaik.