If the file persists despite doing the ENTIRE Plex Dance, then click the triple dot and Get Info on it. Look for the full path to the file that Plex thinks it is. Make sure that it is the same file you are Plex Dancing. Maybe it’s a temporary mini file left over from the ripping process, and not the full movie you were expecting.
Note: The important part of the plex dance we think you missed, is the Empty Trash part, after the scan has detected the missing file is missing. Empty trash removes all trace of the existence of the file from the database, so adding it back in it should scrape as normal, forgetting the bad scraping done in the past.
What was the error Plex gave when you tried to delete it? (I assume you used the Plex interface to delete it, as Synology shouldn’t error unless the file was in-use or something).