Shift+Delete doesn't work on desktop

When I press Shift + Delete, I want to permanently delete the selected files. If I'm at a nautilus window this works as expected.

However I noticed that when I'm in the desktop, either the files get sent to the bin (as if I just pressed Delete), or nothing happens.
What I expected to happen was a dialog to pop up asking if I'm sure I want to permanently delete the files.

(I'm not sure which package is relevant. Here [https://wiki.ubuntu.com/Bugs/FindRightPackage#Graphical_Environment] it says that nautilus handles the desktop but I found no such process running)
Using Ubuntu 19.10 and gnome-shell version 3.34.1+git20191024-1ubuntu1~19.10.1

ProblemType: Bug
DistroRelease: Ubuntu 19.10
Package: gnome-shell 3.34.1+git20191024-1ubuntu1~19.10.1
ProcVersionSignature: Ubuntu 5.3.0-40.32-generic 5.3.18
Uname: Linux 5.3.0-40-generic x86_64
NonfreeKernelModules: nvidia_modeset nvidia
ApportVersion: 2.20.11-0ubuntu8.4
Architecture: amd64
CurrentDesktop: ubuntu:GNOME
Date: Tue Mar 17 02:31:15 2020
DisplayManager: gdm3
ExecutablePath: /usr/bin/gnome-shell
ProcEnviron:
 LANG=el_GR.UTF-8
 PATH=(custom, no user)
 SHELL=/bin/bash
 XDG_RUNTIME_DIR=<set>
RelatedPackageVersions: mutter-common 3.34.1+git20191107-1ubuntu1~19.10.1
SourcePackage: gnome-shell
UpgradeStatus: No upgrade log present (probably fresh install)