Just to update. This was totally user error (me) after the point where Ray showed me the correct code. I was being stupid and didn't include a second delete behavior for the thumbnail version. So it was deleting the large image and yet I was seeing the thumbnail and thought it wasn't working. Sorry about that.
On the other issue. The delete file behavior still does not show up in the DW list of Server Behaviors. Is this normal since it is using a check box as a trigger? So I can't reenter the UE4 wizard.
(Ray, I updated the ticket with a copy of the page)