Shift+Delete doesn't work on desktop

[Anestis]

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)

[Daniel van Vugt (vanvugt)]

Thank you for taking the time to report this bug and helping to make Ubuntu better. This particular bug has already been reported and is a duplicate of bug 1825415, so it is being marked as such. Please look at the other bug report to see if there is any missing information that you can provide, or to see if there is a workaround for the bug. Additionally, any further discussion regarding the bug should occur in the other report. Feel free to continue to report any other bugs you may find.