The advantage of using the Remove Workspace Files command over deleting the file with commands native to your operating system is that by using Perforce, the Perforce server is aware that you've removed the file from your workspace.
More specifically - if you delete a file with the native operating system commands, Perforce has no way of knowing that your workspace is no longer in sync with the depot. A Sync command can therefore result in an erroneous "file(s) up to date" message. By removing files from your workspace within Perforce, Perforce will know about it, and Sync command will work normally.
This is equivalent to the command line:
p4 sync //client-path/...#none
This is equivalent to the command line:
p4 sync //client-path/*#none
To include or exclude individual files from removal, click on the checkboxes for each file, and activate the radio button for the Selected Files option.