RE: File deletion from USB drives, in Kodi navigate to Settings -> Media -> General, & select "Allow file renaming and deletion".
Otherwise, due to limitations with Android's write permissions you can't download files from Kodi add-ons to USB drives/sticks. You can save the files to a folder within Kodi's directory on the internal storage or you can save them to a folder on your micro SD card but it must be at this path -> /[your_SDCard]/Android/data/org.xbmc.kodi/[folder_name].