@TheOnlyAaron is correct: A Mac keyboard typically has only a single “delete” key and due to some historical arbitrariness, it actually issues the code normally considered to be “backward-delete”, meaning “erase the character to the left of the cursor”. This code is issued by the backspace key on a PC. The Mac keyboard fn+delete issues the code “forward-delete”, meaning “erase the character to the right of the cursor”. This code is issued by the delete key on a PC. The generation of these codes happens in the keyboard hardware and does not change when Windows is launched via bootcamp or within a virtual machine.
So, Windows SketchUp is looking for the “forward-delete” key to erase an entity, not the “backward-delete”. It ignores “backward-delete”.
If you watch closely, I bet the other applications are deleting to the left when you press delete and to the right when you press fn+delete!