Hello Prashant0384,
"Protect Against XML Document Structure Threats" assertion should not block the Delete method. (I done a quick test and prove it)
Please attache screenshots to show the settings of "Protect Against XML Document Structure Threats" assertion, and the exact error message, and the sample request.
usually you can allow or forbid a http method on service properties, you may check the service properties as well
Regards,
Mark