Delete or Remove from Device?
Toggle the 5 way switch to any book listed on your Home screen on your Kindle. When you have one underlined (selected), toggle the switch once to the left to see what choices there are. If the choice is Remove from Device, it is a book you purchased from Amazon. Choosing to remove it will only remove it from your Kindle. There will always be a copy stored in the Manage Your Kindle area of your account on Amazon. You can have it sent back to that Kindle (or any of your other devices) any time you want. To make the choice happen, press in on the 5-way switch.
If you are viewing a list of books from the Home screen of your Kindle for PC or Mac, right click (control click for Mac) to see the same choices. Remove from Device lets you know it is a book you purchased from Amazon and a copy is stored in your account area. A single left click (or click for Mac) will make what you choose happen.
If you see the words Delete this Book as an option, this means if you choose it, the book will actually be deleted from your device. It is not a book purchased from Amazon, but either a personal file or a book obtained from another source (like Manybooks.net). Amazon has no way of keeping track of these books for you, so if you choose to delete one, make sure you have a copy on your computer or another drive so you can find it if you ever want to put it on one of your devices again.