Official comment
Unfortunately this is not yet added to rekordbox, but one of the things I'll do is go through my collection and when I find a song I want to remove (and delete the file), I'll use one of the MyTags to mark it for deletion. Later I'll use an intelligent playlist or a filter to show only those songs then I can make my way through the drive, showing them in their folder to delete the file, and then remove it from the collection as well.