Delete files

When I directly delete a file in My Cloud EX2 Ultra through the Windows explorer, are they permanently deleted, or are they kept somewhere, like recycling?

It depends on how you have your EX2 Ultra configured via the My Cloud Dashboard. If you have enabled the recycle bin option then files should not be permanently deleted. See the user manual for the My Cloud EX2 Ultra for more information on how to enable the recycle bin option.

https://support-en.wd.com/app/products/product-detail/p/130

Note there is a dedicated subforum for the EX2 series where people more familiar with that device should be able to assist.

https://community.wd.com/c/network-attached-storage/wd-my-cloud-ex2/109

My Cloud Recycle Bin
https://support-en.wd.com/app/answers/detail/a_id/2242/

Deleted Content Not in the My Cloud Share Recycle Bin
https://support-en.wd.com/app/answers/detail/a_id/15062/

The single bay My Cloud units (the general subject of the My Cloud subforum) do not have a recycle bin option.