That Thunar setting controls whether the “delete permanently” is shown in addition to “Move to Trash”. Thunar does not offer the option of using trash on some types of filesystems/partitions - in which case it will always only show “delete permanently” for files on those filesystems, regardless of the setting.
What type of filesystem are you trying to delete files from? Is it the same partition that contains your home folder, or is it a separate storage partition? Is it a removable drive?
No. That would uninstall your GNOME desktop.