Delete a file uploaded via field?
There is no functionality for this in core in the UI. You could do a entity load + delete with drush ev/core-cli or console, but that's basically your only option.

File entity does offer a UI for this, but you possibly don't want to use it anymore.

That said, setting that setting to Never is IMHO the wrong solution, as it also doesn't delete files that were only uploaded but then for example removed again or never really submitted. See https://www.drupal.org/node/2801777 for more information and another solution for that.

That said, when using media_entity, it should be save to configure Drupal to delete unused files as the media entity itself will always count as a usage of the file, so it will only ever get deleted if you manually delete a media entity.