Deleting a file on the NAS says "delete immediately" but it is still on the NAS's recycle bin?
This is not new and many NAS boxes have this feature.  It's just a method to provide for recovery, in addition to backup. 


  I have to find the Recycle Bin on different volumes and then delete the files? That is kind of manual and low level and is hard to manage. Is there a way to do it in the Dashboard or configure it so that it really is "delete immediately"?


From your Apple (SMB) client?  No.  This is no more different that connecting to a friends MacBook via a shared folder and deleting a file.  You would have no access to empty their trash.

Why?  Because the inherent property of a NAS is sharing and usually by more than one person.  For instance, if we both deleted files from a NAS and you realized you needed it back, you wouldn't appreciate me emptying the trash of your things.

However, emptying of the Trash doesn't have to be a manual process.  FreeNAS, and my Synology NAS both have a feature for both manually emptying the trash as well as setting up a schedule to do so.  Here's a screen grab from my personal Synology:



Check your NAS documentation to see if you can set a schedule for when the trash gets emptied.


  What's more, if I move some files between Shares in the same NAS -- note that it is "moving", then the NAS actually decrease in storage, and I found the file in the Recycle Bin... so it is like a copy and delete. This makes it even harder to manage.


Yes, especially so if you're doing it from an SMB client like your MacBook.  A move is, in fact, a copy and delete.  This is not a fault of of the OS - macOS on your client and Linux (likely) on the NAS.  It's just a reality of SAMBA. 

While I absolutely love my NAS for the convenience it brings, I try not to do any massive file operations from my client device.  Instead I will log in either via the web interface or via SSH so that a move (mv is actually a move and not a copy/delete).  In effect, I bypass SAMBA for these operations.