On the Kindle home screen, navigate to the listing for the ebook and press the left arrow. You will get a prompt to delete the ebook (use the back key to cancel). I had to read the manual to find this, it is not at all obvious - even though there is a little left arrow mark next to the title.
In Calibre, connect the Kindle by USB select the device icon to see the ebooks on your device. Select one or more ebooks (click on first then shift click on last to select all between the selections) right click and choose delete from device.
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