Replying to helen:
You have to take so many steps to get here - is it really necessary to add another step?
Yes, I think so. For all other content, we have Trash, so deleting something can be undone. With the Customiser, we allow people to see what their change will look like before they commit to it, so it's an informed decision.
With Attachments, deleting is simple to do, and irreversible. Short of a Trash-like system for Attachments, I think it's appropriate for people to be warned of the permanent nature of what they're about to do.