@Niklas Sjögren ,
I too have done some testing on v14.12 and I actually think Sysmon is working correctly/as intended.
If you delete a file from the GUI (explorer.exe) the file isn't actually deleted right away. It's just moved to the Recycle Bin. So no delete occurs until you empty the recycle bin.
But if you delete the file via PowerShell.exe or cmd.exe the recycle bin is bypassed/not used. That's why you see the event from powershell.exe but not explorer.exe.
Try deleting the file from the GUI/Explorer with SHIFT + DEL (to bypass the recycle bin) and I think you will find that it works (the event is logged).
A bit unexpected maybe, but technically correct from an API-standpoint which Sysmon has.