This could be dangerous and lead to accidental deletions. I'd rather see a "open containing folder" feature where you can manually delete whatever you want using your default file browser.
If transfer aborted, then delete option does make sense. Why would you need to open the containing folder, just to view and delete an aborted, partially downloaded file? Vuze has this option, no problem. When choosing "delete" from the context menu, a "delete content" popup gives 3 choices: 1) Cancel 2) Delete from Computer 3) Remove from [list]. Seems like a good system.