If you want to delete any images out of a project in select, you can either right click the image and select Delete File(s) or you can highlight the images and hit ⌘ + delete.
Deleting images in Select will also delete any files associated with that image in your source folder (including the XMP). Files stored on your computer will be moved to the Trash, files stored on an external drive or memory card will be permanently deleted.
Mistakes happen, so to avoid deletion accidents, we usually recommend that you instead choose a reject label (like the colour red for example), and set your filters in select to hide any images that have this label applied. When you've completed your selection, you can also choose to ship just the images in the current filter view to leave your rejects behind.