You have the BI administrator duty role which gives full access (admin level access) to all reports.
If you want to delete the option to be removed even from this role then you have to go to the specific folder or specific report from which you want to remove the delete option.
On that select permissions and then update the roles which have full access to custom and remove the delete and other options which you do not want that role to have.
I hope this blog post was helpful for you. If you have any questions or feedback, please leave a comment below.