[2022] Can't even delete walls and built object??

With the build menu open, you can remove blueprints by right-clicking them.

To remove things you have built, you need to deconstruct them with the clear/remove job in the jobs menu. With the job selecting left-click the desired object you want to deconstruct. Someone with the deconstruct skill enabled will come and remove it.

Because the game is in early access, I've not focused too much of my time on the tutorial. I'd rather add more content and features first. However, I will be improving the tutorial and adding more to it to make it clearer before the game comes out of early access. Thanks for the feedback!