Deleting the unconfirmed transaction from the wallet will just "locally" delete it from your wallet and not in the rest of the Bitcoin nodes that still keep your txn.
And for an some reason, Mycelium's server's keeps everything (valid) in their mempool, it must have a huge maxmempool size and very long mempoolexpiry settings.
Check this guy who broadcaster a transaction 3months ago that never fully dropped from the network (now confirmed);
Link: /index.php?topic=5474461.msg63648534#msg63648534
It may be a way for them to minimize complaints of missing unconfirmed transactions of their clients since it'll be more troublesome than the few who want to get their transaction dropped.
There are workarounds to "unstuck" transaction anyways, so they must be balancing the decision from worse to worst case scenario.