You can try suggesting improvements to Amazon, but there is no way to know if anyone actually working on Kindle software will see them. Otherwise, unless you are an especially computer hacker, there is no way to modify the software in your Kindle to provide the feature you want.
I assume that you are aware that 'remove download' only removes the book from your Kindle device - it will remain in your Kindle Library on the Amazon cloud and can be downloaded again if you wish.
There is a 'remove permanently' option that does include an 'are you sure you really want to do this' check.
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