Delete
There are two separate delete actions on a module's overview page: deleting individual entries, and deleting the whole module.
Delete Entries
Select one or more entries with their row checkboxes, then click Delete in the toolbar that appears.

The flyout lists exactly what you selected and warns that the action can't be undone.
Delete the module
Deleting the whole module (and every entry in it) lives inside Modify's Advanced Options section, not the main toolbar.

Warning:
Deleting a module removes every entry in it along with the module itself. If you only want to remove some content, use Delete Entries above instead.