This would be useful. DeleteFile could take up to 30s if deleting on a disconnected network share.
The reason is likely to be that there is no native function to delete a file asynchronously. The managed APIs generally are wrappers around the unmanaged ones.
Now why is there no native asynchronous file delete API? Native async deletion is hard to implement on Windows as it is. DeleteFile does in pseudocode CreateFile plus NtSetInformationFile(Disposition, Delete) plus CloseHandle. There is no async CreateFile (in my opinion a design bug in Windows). NtSetInformationFile just sets a flag on the file data structure in the kernel. It can’t be asynchronous. The actual deletion happens when the last handle is closed. I think this might make CloseHandle blocking which is another design issue in Windows. There is no async CloseHandle.