I don’t know if it is a bug or not but I cannot delete presents from inside the FX Browser. In fact all the options in the edit menu are greyed out. I can delete if I load or save in the resolve ofx panel and the windows opens where the presets are located but it is not as convenient because you don’t see the effect you have only the name.
Currently there is no way to delete a preset directly from the FX Browser. The only option is to navigate to the folder and delete the actual preset file as you described. We have filed this as a feature request.