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First, based on the screenshot you shared, I notice that your OneDrive storage is currently full, and you need to free up some space first by checking and deleting items in the recycle bin and the second-stage recycle bin.
After emptying your recycle bin, you can try deleting again.
Regarding to the error message:
“Request was cancelled by event received. If attempting to delete a non-empty folder, it's possible that it's on hold.”
If the files and folders are in a Teams Private Channel, it’s possible that retention policies configured for the Teams or SharePoint site are preventing the deletion of the files. You may need to check with your organization’s Global Admin (the person who can manage all accounts in your organization) to see if any retention policies are in place for the Teams Private Channel or SharePoint site.
For more detail about retention policies, you can refer to this article: Learn about retention for SharePoint and OneDrive.
Note: If you’re unsure who the Global Admin is within your organization, you can find guidance on locating them here: How do I find my Microsoft 365 admin? - Microsoft Support.
I hope this helps. Please fee free to let me know if you have any further questions or concerns.
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